Roll Curve


Function Roll Curve within
Yield Curve with keys Yield Curve Roll Curve keys builds and returns a new shifted yield curve implied by a given source yield curve that can be used to calculate the rolled price of any Tradable as of some future horizon date by applying the Price function on the given tradable using as input curves produced by the function here.
The optional input key
As Forc Curve determines whether the produced curve can be used for discounting or forecasting purposes.

This function is actually a shortcut to the function
Shift Curve
Specifically, it calls the Shift Curve with the following inputs:
Date Spec =
By Date
Last Zero DF Date = Tʰ - one calendar day in the case where As Forc Curve = FALSE. Otherwise it is omitted so that rates setting before can still be forecasted.
DF Multiplier = 1 / DF(Tʰ)

where DF(t) is the discount factor implied by the source yield curve for the maturity

The horizon date is provided either directly or through a time shift expressed as a
Period

As the Shift Curve also does, the returned curve is the same as that produced by the
Create function with input in Market Data an appropriately constructed object of type ImpYC Shifted
Look at the last link for more details, in particular at the section where the application to the calculation of the rolled price is described.