Financial Instruments Toolbox

Yield Curves and Interest-Rate Term Structure

Financial Instruments Toolbox provides customizable objects for fitting a yield curve to market data. The toolbox helps you analyze market data by deriving curve objects, including forward rate curve, discount rate curve, and par yield curve.

The interest-rate curve objects help you fit yield curves to market data using several approaches:

  • Bootstrap method
  • Parametric models, including Nelson-Siegel, Svensson, and VRP
  • Spline-based models
  • Custom functions
A plot of yield curves fitted to market data using three parametric models.
A plot of yield curves fitted to market data using three parametric models.

Interest-rate curve objects also help you analyze yield curves to derive discount rates, zero rates, forward rates, and par yields.

Plots of yield curve analysis using forward and zero rates with interpolation methods and par yield curve.
Plots of yield curve analysis using forward and zero rates with interpolation methods (left) and par yield curve (right).

Additionally, you can convert interest-rate curve objects to model interest-rate term structures and price fixed-income derivatives.

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