tailieunhanh - Financial Toolbox For Use with MATLAB Computation Visualization Programming phần 7

Chuyển tiếp tỷ lệ. Một N-1 vector hàng năm tỷ lệ chuyển tiếp ngụ ý, dưới dạng số thập phân thập phân. Tổng hợp, tỷ lệ trong fr tạo thành một đường cong ngụ ý về phía trước chân trời đầu tư đại diện bởi cd. Đường cong ngày. Một N-1 vector của ngày đáo hạn (như số ngày nối tiếp) tương ứng với tỷ lệ chuyển tiếp trong fr. | fwd2zero Purpose Zero curve given a forward curve. Syntax zr cd fwd2zero fr cd sd ocomp obasis icomp ibasis zr cd fwd2zero fr cd sd ocomp obasis icomp zr cd fwd2zero fr cd sd ocomp obasis zr cd fwd2zero fr cd sd ocomp zr cd fwd2zero fr cd sd Arguments fr cd Forward rates. An N-by-1 vector of annualized implied forward rates as decimal fractions. In aggregate the rates in fr constitute an implied forward curve for the investment horizon represented by cd. Curve dates. An N-by-1 vector of maturity dates as serial date numbers that correspond to the forward rates in fr. Use datenum to convert date strings to serial date numbers. sd Settlement date. A serial date number that is the common settlement date for the forward rates in fr. ocomp Output compounding. A scalar that sets the compounding frequency per year for annualizing the output zero rates in zr. Allowed values are 1 annual compounding 2 semi-annual compounding default 3 compounding three times per year 4 quarterly compounding 6 bimonthly compounding 12 monthly compounding 365 daily compounding -1 continuous compounding obasis Output day-count basis for annualizing the output zero rates in zr. 0 actual actual default 1 30 360 2 actual 360 3 actual 365. icomp Input compounding. A scalar that indicates the compounding frequency per year used for annualizing the input forward rates in fr. Allowed values are the same as for ocomp. Default ocomp. ibasis Input day-count basis used for annualizing the forward rates in fr. Allowed values are the same as for obasis. Default obasis. 2-142 fwd2zero Description zr cd fwd2zero fr cd sd ocomp obasis icomp ibasis returns a zero curve given an implied forward curve and its maturity dates. zr Zero rates. An N-by-1 vector of decimal fractions. In aggregate the rates in zr constitute a zero curve for the investment horizon represented by cd. cd Curve dates. An N-by-1 vector of maturity dates as serial date numbers that correspond to the zero rates in zr. This vector is the same