ImpYC XCCY Disc
ImpYC XCCY Disc is a of with functions , keys and example object that represents the input data required to build a discounting curve in a given target currency TGT that is implied by a known discounting curve in another source currency SRC.
Web blog example here
Technically, the mentioned curve is created by feeding an object of this type as value next to the key in the formula that creates the object.
The known SRC discounting curve represents the interest rate cost associated with a collateral account that is presumably held in the source currencySRC as a hedge against a possible default on the cash flows in the target currency TGT in the context of a derivative transaction - such as a swap - in TGT.
The theory of no arbitrage prescribes that in this case all TGT cash flows must be discounted using a special TGT discounting curve that reflects the cost of maintaining the SRC collateral account.
This special TGT discounting curve is produced with the data provided here.