ImpYC Combined


ImpYC Combined is a direct subtype of ImpYC
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with functions ImpYC Combined Functions, keys ImpYC Combined keys and example object ImpYCComb

TYPE INCLUSION RELATIONSHIPS

ImpYC

ImpYC Combined

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Crv 1

Crv 2

Switch Length

Switch Start

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TYPICAL OBJECTS OF TYPE ImpYC Combined

ImpYCComb

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This type represents the input data required to build a yield curve COMBCURVE (i.e. an object of type Yield Curve) that represents the combination of two given curves CURVE1 and CURVE2 in the following sense:
The produced curve COMBCURVE coincides with CURVE1 until a user-specified time T₁ and also coincides with CURVE2 after a user-specified time T₂ with T₂ > T₁
In the transition interval between T₁ and T₂ the COMBCURVE implies continuously compounded zero rates that are an average of the corresponding rates implied by the curves CURVE1 and CURVE2.

Note that under the usage of this type, the arrays reported by the keys _Curve Pegs and _Curve Values refer only to the first curve CURVE1