Main Content

discountfactors

Calculate discount factors for parametercurve object

Description

example

outDF = discountfactors(obj,inpDates) calculates the discount factors for a parametercurve object.

Examples

collapse all

Create a parametercurve object using parametercurve.

PCobj = parametercurve('zero',datetime(2019,9,15),@(t)polyval([-0.0001 0.003 0.02],t),'Compounding',4,'Basis',5,'Parameters',[-0.0001 0.003 0.02])
PCobj = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2019
       Compounding: 4
             Basis: 5
    FunctionHandle: @(t)polyval([-0.0001,0.003,0.02],t)
        Parameters: [-1.0000e-04 0.0030 0.0200]

Compute the discount factors using discountfactors.

CurveSettle = datetime(2019,9,15);
outDF = discountfactors(PCobj,CurveSettle+30:30:CurveSettle+720)
outDF = 1×24

    0.9983    0.9967    0.9949    0.9932    0.9914    0.9895    0.9876    0.9857    0.9838    0.9818    0.9798    0.9778    0.9757    0.9737    0.9715    0.9694    0.9673    0.9649    0.9627    0.9604    0.9581    0.9558    0.9535    0.9511

Input Arguments

collapse all

parametercurve object, specified as a previously created parametercurve object.

Data Types: object

Input dates, specified as a scalar or an NPOINTS-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, discountfactors also accepts serial date numbers as inputs, but they are not recommended.

Output Arguments

collapse all

Discount factors, returned as a numeric.

Version History

Introduced in R2020a

expand all