Version 1.6 (R2008b) Fixed-Income Toolbox™ Software Release Notes

Version 1.6 (R2008b) Fixed-Income Toolbox Software

This table summarizes what's new in Version 1.6 (R2008b):

New features and changes introduced in this version are

Support for Interest-Rate Curve Objects

Support for analyzing the term structure of interest rates, including bootstrapping and fitting the term structure to market data using parametric models (e.g., Nelson Siegel and Svensson), spline-based models, and user-defined functions. Fixed-Income Toolbox™ supports three class objects:

• @IRCurve

  Base abstract class supports creating interest-rate curves and includes methods for extracting forward, zero, and discount factors curves.

  Supports a method to convert to a RateSpec structure, an acceptable input format for the Financial Derivatives Toolbox™ function intenvset.

• @IRDataCurve

  Represents interest-rate curves based on vectors of dates and data. This class supports bootstrapping an interest-rate curve from market instruments with a range of interpolation methods.

• @IRFunctionCurve

  Represents an interest-rate curve with a function; the function can be specified directly, or a form of the function can be specified and then the parameters are fit to available market data. In addition, you can determine which type of interest-rate curve (zero, forward, or discount curve) fits the market data, as well as, any custom functions.

For more information, see Interest-Rate Curve Objects.

Fixed-Income Toolbox Release Notes

Version 1.5 (R2008a) Fixed-Income Toolbox Software