Financial Derivatives Toolbox | ![]() ![]() |
Interest rates from cash flow discounting factors
Syntax
Usage 1: Interval points are input as times in periodic units.
Usage 2: ValuationDate
is passed and interval points are input as dates.
Arguments
Description
convert cash flow discounting factors to interest rates. Rates = disc2rate(Compounding, Disc, EndTimes, StartTimes)
and
[Rates, EndTimes, StartTimes] = disc2rate(Compounding, Disc,
EndDates, StartDates, ValuationDate)
disc2rate
computes the yields over a series of NPOINTS
time intervals given the cash flow discounts over those intervals. NCURVES
different rate curves can be translated at once if they have the same time structure. The time intervals can represent a zero curve or a forward curve.
Rates
is an NPOINTS
-by-NCURVES
column vector of yields in decimal form over the NPOINTS
time intervals.
StartTimes
is an NPOINTS
-by-1
column vector of times starting the interval to discount over, measured in periodic units.
EndTimes
is an NPOINTS
-by-1
column vector of times ending the interval to discount over, measured in periodic units.
If Compounding = 365
(daily), StartTimes
and EndTimes
are measured in days. The arguments otherwise contain values, T
, computed from SIA semiannual time factors, Tsemi
, by the formula T = Tsemi/2 * F
, where F
is the compounding frequency.
The investment intervals can be specified either with input times (Usage 1) or with input dates (Usage 2). Entering ValuationDate
invokes the date interpretation; omitting ValuationDate
invokes the default time interpretations.
See Also
![]() | derivset | fixedbybdt | ![]() |