ZeroRate




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Returns the zero rate.

You can apply various compounding rules to the final rate, Simple (1+r*t), 'Compounded' (1+r/N)^(t*N), where N is the number of coupons per year, 'Continuous' e^{r*t}, SimpleThenCompounded (Simple up to the first period then Compounded).

This function requires the input of a YieldCurve object key, which must have been produced via a call to one of the YieldCurve (CapeTools Curves, CapeTools XCCY Curves or CapeTools Bond Curves) or Credit Default Curves (CapeTools Credit Curves) category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'YCKey' parameter of this function.



Note: Within Excel, the function is named - CT.MKT.ZeroRate


High level graphic of ZeroRate() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. dDate parameter

    The date of the zero rate.
  2. Freq parameter

    The Zero rate quotation frequency.
  3. compounding parameter

    The Zero rate quotation compounding.
  4. DayCount parameter

    he Zero rate quotation DayCounter.
  5. YCKey parameter

    Key to an already constructed YieldCurve object.


Extended information

Function Syntax

VB Syntax 


Double CTQryCurves.ZeroRate( _
Long dDate, _
FreqEnum Freq, _
COMPEnum compounding, _
DayCountEnum DayCount, _
String YCKey)


Excel Spreadsheet Syntax 


=CT.MKT.ZeroRate(
Excel Numeric Cell dDate,
Excel String Cell Freq,
Excel String Cell compounding,
Excel String Cell DayCount,
Excel String Cell YCKey)


C++ Syntax 


static double ZeroRate(
long dDate,
FreqEnum Freq,
COMPEnum compounding,
DayCountEnum DayCount,
std::string YCKey);


DotNET Syntax 


System.Double CTQryCurvesSA.ZeroRate(
System.Int32 dDate,
CTIEnums.FreqEnum Freq,
CTIEnums.COMPEnum compounding,
CTIEnums.DayCountEnum DayCount,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
dDateLongFALSE
FreqFreqEnumFALSE
compoundingCOMPEnumFALSE
DayCountDayCountEnumFALSE
YCKeyStringTRUE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
dDateFALSE21/Jan/2006 (serial date type)
FreqFALSEA
compoundingFALSECompounded
DayCountFALSEACT365F
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Curves20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the ZeroRate() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the ZeroRate() function call


0.0367724768339879

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