www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/UseIRBootstrapOptionsObjwithbootstrapforNegativeZeroInteExample.m
%% Use |IRBootstrapOptionsObj| with |bootstrap| for Negative Zero Interest-Rates %% % Use the |IRBootstrapOptionsObj| optional argument with the |bootstrap| method % to allow for negative zero rates when solving for the swap zero points. Settle = datenum('15-Mar-2015'); InstrumentTypes = {'Deposit';'Deposit';'Swap';'Swap';'Swap';'Swap';}; Instruments = [Settle,datenum('15-Jun-2015'),.001; ... Settle,datenum('15-Dec-2015'),.0005; ... Settle,datenum('15-Mar-2016'),-.001; ... Settle,datenum('15-Mar-2017'),-0.0005; ... Settle,datenum('15-Mar-2018'),.0017; ... Settle,datenum('15-Mar-2020'),.0019]; irbo = IRBootstrapOptions('LowerBound',-1); bootModel = IRDataCurve.bootstrap('zero', Settle, InstrumentTypes,... Instruments,'IRBootstrapOptions',irbo); bootModel.getZeroRates(datemnth(Settle,1:60)) %% % Note that optional argument for |LowerBound| is set to |-1| for negative % zero rates when solving the swap zero points.