Function Roll Curve within with 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 as of some future horizon date Tʰ by applying the function on the given tradable using as input curves produced by the function here.
The optional input key determines whether the produced curve can be used for discounting or forecasting purposes.
This function is actually a shortcut to the function
Specifically, it calls the Shift Curve with the following inputs:
Date Spec =
= Tʰ - one calendar day in the case where As Forc Curve = FALSE. Otherwise it is omitted so that rates setting before Tʰ can still be forecasted.
= 1 / DF(Tʰ)
where DF(t) is the discount factor implied by the source yield curve for the maturity Tʰ
The horizon date Tʰ is provided either directly or through a time shift expressed as a
As the Shift Curve also does, the returned curve is the same as that produced by the function with input in an appropriately constructed object of type
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.