Disc Crv


Key Disc Crv in
Yield Curve Swp refers to an optional exogeneous discounting yield curve used to perform "exogeneous dual bootstrapping".
On its absence, a regular bootstrapping is performed, whereby the input market rates are reproduced by using the produced curve to carry out both discounting and forecasting.
On its presence, an "exogeneous dual bootstrapping" takes place, whereby the input market rates are reproduced by using the produced curve to forecast the rates and this curve to do all discounting.
This results in a forecasting curve that does not assume that the input market swap rates are risk-free and can be used to forecast forward rates that take into account the risk premium associated with the market swap rates.
Expects an object of type
Yield Curve.