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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 credit instruments using a default probability curve with a defprobcurve object.

Functions

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ratecurveCreate ratecurve object for interest-rate curve from dates and data
zeroratesCalculate zero rates for ratecurve object
forwardratesCalculate forward rates for ratecurve object
discountfactorsCalculate discount factors for a ratecurve object
irbootstrapBootstrap interest-rate curve from market data
parametercurveCreate parametercurve object for storing interest-rate curve function
zeroratesCalculate zero rates for parametercurve object
discountfactorsCalculate discount factors for parametercurve object
forwardratesCalculate forward rates for parametercurve object
fitNelsonSiegelFit Nelson-Siegel model to bond market data
fitSvenssonFit Svensson model to bond market data
defprobcurveCreate defprobcurve object for credit instrument
survprobsCompute survival probability based on default probability curve
hazardratesCompute hazard rates based on default probability curve
defprobstripBootstrap defprobcurve object from market CDS instruments

Examples and How To

Bootstrap Default Probability Curve from Market CDS Instruments

This example shows how to use defprobstrip to bootstrap a defprobcurve object based on market CDS instruments.

Concepts

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.