On how to do this please refer to the notebook TermStructureTools.nb and the function InterpolateInterestRates . Interest rates are generally passed to the functions as annual rates and the functions normally return annual rates. Refer to the notebook TermStructureTools.nb . Coupon Rates and Interest Rates Coupon rates are normally assumed to be annual nominal rates, in percent. E.g. 10 means 10 percent and 0.10 means 0.10 percent Interest rates are normally assumed to be annual effective rates, in percent.
Objects normally refer to financial contracts.
Time Several functions are written to accomodate more than one way of time specification. There are generally two different ways of specifying time, plus the case where time specification is not needed or does not make sense. In this case functions work using actual calendar dates for specification of time. In this case functions do not need any specification of time. See e.g. the function NominalRateToEffectiveRate in the notebook TermStructureTools.nb .