Set


Key Set in
Yield Curve Swp refers to the set containing the quoted swap rates.
Expects an object of type
Set consisting of 2, 3 or 4 columns (set in any order).
The first column must bear the title #Tenor and contain the lengths of the supplied swaps, expressed as time intervals, i.e. objects of type
Step
The second column must bear the title #Rate and contain the respective swap rates.
The next column is optional. If it exists, it must bear the title #FxdPeriod and contain the respective fixed leg periods as objects of type
Step, which then override the entry in Fxd Ref Period
The next column is optional. If it exists, it must bear the title #Index and contain the respective indices as objects of type
Ibor Rate, which then override the entry in Ibor Index
The next column is optional. If it exists, it must bear the title #Spread and contain the respective floating leg spreads over the index.
The remaining column must bear the title #Pillar and should be present only if the entry in
Pillar Choice equals Custom Date, in which case it supplies the custom dates meant to be used as curve pillars during the curve building out of the swap rates here.

All swap contracts will share the same conventions, which must be explicitly supplied.
Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set