Boost Margin

Key Boost Margin in
Curve Booster refers to a number that defines the range in basis points in which the market rates may vary with the ensuing yield curve being constructed using fast Taylor expansion rather than slow bootstrapping.
Specifically, fast Taylor expansion is applied only if all current market quotes are within the distance defined here from their respective stored base quotes.
As soon as any market quote deviates from its initial stored base quote by more than the value defined here, the curve is reset automatically so that it is constructed using regular bootstrapping to match the current quotes.
In the above event, also the derivatives are recalculated off the current market quote levels.