discountfactors

Calculate discount factors for parametercurve object

Syntax

outDF = discountfactors(obj,inpDates)

Description

outDF = discountfactors(obj,inpDates) calculates the discount factors for a parametercurve object.

Examples

Calculate Discount Factors for parametercurve Object

Create a parametercurve object using parametercurve.

PCobj = parametercurve('zero',datetime(2019,9,15),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02])

PCobj = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2019
       Compounding: 4
             Basis: 5
    FunctionHandle: @(t)polyval([-0.0001,0.003,0.02],t)
        Parameters: [-1.0000e-04 0.0030 0.0200]

Compute the discount factors using discountfactors.

CurveSettle = datetime(2019,9,15);
outDF = discountfactors(PCobj,CurveSettle+30:30:CurveSettle+720)

outDF = 1×24

    0.9983    0.9967    0.9949    0.9932    0.9914    0.9895    0.9876    0.9857    0.9838    0.9818    0.9798    0.9778    0.9757    0.9737    0.9715    0.9694    0.9673    0.9649    0.9627    0.9604    0.9581    0.9558    0.9535    0.9511

Input Arguments

obj — parametercurve object

parametercurve object

parametercurve object, specified as a previously created parametercurve object.

Data Types: object

inpDates — Input dates

datetime array | string array | date character vector

Input dates, specified as a scalar or an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, discountfactors also accepts serial date numbers as inputs, but they are not recommended.

Output Arguments

outDF — Discount factors

numeric

Discount factors, returned as a numeric.

More About

Discount Factor

A discount factor is a multiplier applied to future cash flows to convert them into their present value.

The discount factor quantifies how much future cash flows are worth in today’s terms.

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although discountfactors supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.