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Bootstrap from Market Data

Bootstrap IRDataCurve object from market data and analyze zero curve

For information about using the IRDataCurve object, see the Interest-Rate Curve Objects and Workflow.

`IRDataCurve`	Construct interest-rate curve object from dates and data
`IRBootstrapOptions`	Construct specific options for bootstrapping interest-rate curve object

`bootstrap`	Bootstrap interest-rate curve from market data
`getDiscountFactors`	Get discount factors for input dates for `IRDataCurve`
`getForwardRates`	Get forward rates for input dates for `IRDataCurve`
`getParYields`	Get par yields for input dates for `IRDataCurve`
`getZeroRates`	Get zero rates for input dates for `IRDataCurve`
`toRateSpec`	Convert `IRDataCurve` object to `RateSpec`

Creating Interest-Rate Curve Objects
Alternatives for creating an interest-rate curve object.
Creating an IRDataCurve Object
Use the IRDataCurve constructor with vectors of dates and data to create an interest-rate curve object.
Bootstrapping a Swap Curve
This example shows how to bootstrap an interest-rate curve, often referred to as a swap curve, using the IRDataCurve object.
Dual Curve Bootstrapping
This example shows how to bootstrap a forward curve using a different curve for discounting.
Converting an IRDataCurve or IRFunctionCurve Object
The IRDataCurve and IRFunctionCurve objects for interest-rate curves support conversion.
Analyze Inflation-Indexed Instruments
This example shows how to analyze inflation-indexed instruments using Financial Toolbox™ and Financial Instruments Toolbox™.
Fitting the Diebold Li Model
This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.
Interest-Rate Curve Objects and Workflow
Financial Instruments Toolbox™ class structure supports interest-rate curve objects.
Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework
Mapping curve functions to an object-based framework.