Interest Rates — functions

Functions

322. GIA Compounding Converter

(InterestRate, T0, T, CompInput, CompOutput, DaysInput, DaysOutput)

Converts an interest rate from one compounding basis to another.

323. GIA_IR_DaysOrYears

(StartDate, EndDate, Days, OT)

Returns the number of days or years (usually year fraction) between two dates, according to the most commonly used day-count methods.

324. GIA_IR_DFfromIR

(InterestRate, T0, T, Comp, Days)

Returns the discount factor, given an interest rate.

325. GIA_IR_DFfromIRcurve

(CurveDates, CurveRates, T0, TDate, Comp, Days, Interp)

Interpolates the discount factor for a specific date, given an interest rate curve.

326. GIA_IR_DFfromDFcurve

(CurveDates, CurveRates, TDate, Interp)

Interpolates the discount factor for a specific date, given a discount factor curve.

327. GIA_IR_ExpectedCPI

(CPICurveDates, CPICurveRates, Season, VDate, TDate, LagV, LagT)

Interpolates the expected CPI for a specific date, given an expected CPI curve and seasonality.

329. GIA_IR_ForwardRateFromDFcurve

(CurveDates, CurveRates, T0, T1, T2, Comp, Days, Interp)

Returns the forward interest rate, given a discount factor curve.

330. GIA_IR_ForwardRateFromIRcurve

(CurveDates, CurveRates, T0, T1, T2, CompInput, CompOutput, DaysInput, DaysOutput, Interp)

Returns the forward interest rate, given an interest rate curve.

330. GIA_IR_IRfromDF

(DiscountFactor, T0, T, Comp, Days)

Returns the interest rate, given a discount factor..

331. GIA_IR_IRfromDFcurve

(CurveDates, CurveRates, T0, TDate, Interp, Comp, Days)

Interpolates the interest rate for a specific date, given a discount factor curve.

332. GIA_IR_IRfromIRcurve

(CurveDates, CurveRates, TDate, Interp)

Interpolates the interest rate for a specific date, given an interest rate curve.