Build and Analyze Curve Models
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
Objects
Topics
- Bootstrap Default Probability Curve from Market CDS Instruments
This example shows how to use
defprobstrip
to bootstrap adefprobcurve
object based on marketCDS
instruments. - Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments
Use objects to model and price financial instruments.
- Choose Instruments, Models, and Pricers
Select instruments, associated models, and associated pricers.
- Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers
Mapping functions to a workflow using objects for instruments, models, and pricers.
- Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework
Mapping curve functions to an object-based framework.