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Build and Analyze Curve Models

Create and analyze interest-rate and default probability curves

Analyze interest-rate curves or bootstrap interest-rate curves from market data using a ratecurve object. Estimate parameters for yield curve models using a parametercurve object. Price inflation instruments using an inflationcurve object. Price credit instruments using a default probability curve with a defprobcurve object. Create a curve for a short-term interest-rate instrument using irbootstrap.

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Functions

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ratecurveCreate ratecurve object for interest-rate curve from dates and data (Since R2020a)
zeroratesCalculate zero rates for ratecurve object (Since R2020a)
forwardratesCalculate forward rates for ratecurve object (Since R2020a)
discountfactorsCalculate discount factors for a ratecurve object (Since R2020a)
irbootstrapBootstrap interest-rate curve from market data (Since R2020a)
inflationcurveCreate inflationcurve object for interest-rate curve from dates and data (Since R2021a)
indexvaluesCalculate index values for inflationcurve object (Since R2021a)
inflationbuildBuild inflation curve from market zero-coupon inflation swap rates (Since R2021a)
parametercurveCreate parametercurve object for storing interest-rate curve function (Since R2020a)
zeroratesCalculate zero rates for parametercurve object (Since R2020a)
discountfactorsCalculate discount factors for parametercurve object (Since R2020a)
forwardratesCalculate forward rates for parametercurve object (Since R2020a)
fitNelsonSiegelFit Nelson-Siegel model to bond market data (Since R2020a)
fitSvenssonFit Svensson model to bond market data (Since R2020a)
defprobcurveCreate defprobcurve object for credit instrument (Since R2020a)
survprobsCompute survival probability based on default probability curve (Since R2020a)
hazardratesCompute hazard rates based on default probability curve (Since R2020a)
defprobstripBootstrap defprobcurve object from market CDS instruments (Since R2020a)

Objects

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STIRFutureSTIRFuture instrument object (Since R2021b)
OISFutureOISFuture instrument object (Since R2021b)
OvernightIndexedSwapOvernightIndexedSwap instrument object (Since R2021b)

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