Compute the floored spot curve calculated by flooring the forward curve.
Explanation of Input Parameters:
- TermSpot: is a 1xN vector with all timesteps of the given curve
- SpotRates: is MxN matrix with curve rates defined in columns. Each
row contains a specific scenario with different curve structure
- floor_rate: is a scalar, specifiying the floor applied to forward rates
- term_forwardrate: is a scalar, specifiying forward period
- basis: (optional) day count convention of instrument (default: act/365)
- comp_type: (optional) specifies compounding rule (simple,
discrete, continuous (defaults to ’cont’)).
- comp_freq: (optional) compounding frequency (default: annual)
- interp_method: (optional) specifies interpolation method for
retrieving interest rates (defaults to ’linear’).
Explanation of Output Parameters:
- TermForward: 1xN vector with all timesteps for output curves
- spotrates_floored: MxN matrix with floored spot curves
- forwardrates: MxN matrix with forward curves
- forwardrates_floored: MxN matrix with floored forward curves
See also: timefactor.