ImpYC Fwd Spreaded

ImpYC Fwd Spreaded is a direct subtype of ImpYC

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with functions ImpYC Fwd Spreaded Functions, keys ImpYC Fwd Spreaded keys and example object ImpYCFwdSprd

TYPE INCLUSION RELATIONSHIPS

AVAILABLE FUNCTIONS

AVAILABLE CREATE FUNCTION KEYS

TYPICAL OBJECTS OF TYPE ImpYC Fwd Spreaded

This type represents the input data required to build a yield curve (i.e. an object of type Yield Curve), referred to as TARGET CURVE below, of which the instantaneous forward rates will exceed the corresponding rates of a given reference curve by a fixed amount.

Technically, the TARGET CURVE is created by feeding an object of the ImpYC Fwd Spreaded type as value next to the key Market Data in the formula that creates the TARGET CURVE

Formally, if the supplied reference curve has the instantaneous forward rate F(T) for any maturity T, the corresponding rate for the TARGET CURVE will equal F(T) + s, where the spread s is a constant independent of the time T.

It turns out from this definition that the same additive rule will then apply to the continuously compounded zero rates as well.
More specifically, if the supplied reference curve has the continuously compounded zero rate r(T) for any maturity T, the corresponding rate for the TARGET CURVE will equal r(T) + s