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Estimate Model Parameters

Estimate parameters of IRFunctionCurve object for Nelson-Siegel, Svensson, and smoothing spline yield curve models and analyze curve models

For information about using the IRFunctionCurve object, see Fitting Interest-Rate Curve Functions.

Objects

IRFunctionCurveConstruct interest-rate curve object from function handle or function and fit to market data
IRFitOptionsConstruct specific options for fitting interest-rate curve object

Functions

getForwardRatesGet forward rates for input dates for IRFunctionCurve
getZeroRatesGet zero rates for input dates for IRFunctionCurve
getDiscountFactorsGet discount factors for input dates for IRFunctionCurve
getParYieldsGet par yields for input dates for IRFunctionCurve
toRateSpecConvert IRFunctionCurve object to RateSpec
fitNelsonSiegelFit Nelson-Siegel function to bond market data
fitSvenssonFit Svensson function to bond market data
fitSmoothingSplineFit smoothing spline to bond market data
fitFunctionCustom fit interest-rate curve object to bond market data

Examples and How To

Creating an IRDataCurve Object

Use the IRDataCurve constructor with vectors of dates and data to create an interest-rate curve object.

Creating an IRFunctionCurve Object

Use IRFunctionCurve with a MATLAB® function handle to define an interest-rate curve.

Fitting Interest-Rate Curve Functions

This example shows how to use IRFunctionCurve objects to model the term structure of interest rates (also referred to as the yield curve).

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™.

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.

Concepts

Interest-Rate Curve Objects and Workflow

Financial Instruments Toolbox™ class structure supports interest-rate curve objects.

Creating Interest-Rate Curve Objects

Alternatives for creating an interest-rate curve object.

Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework

Mapping curve functions to an object-based framework.