Yield Curve is a Valuation that represents what practitioners call a "yield curve", which in turn refers to the market available information about discount factors for all maturities. The yield curve is almost always a prerequisite to derivatives pricing. Its purpose is to provide the market-implied discount factor for any requested maturity. The following market input data are supported: Deposit rates' Futures prices'' Forward rates'' Swap rates'' Bond prices'' OIS rates'' BMA ibor fractions' Some of the above rates/prices allow alternative specifications, as follows: Deposit rates <--> Yield Curve::Deposit Input Futures prices <--> Yield Curve::Futures Input Forward rates <--> Yield Curve::FRA Input If bond prices alone are used, both parametric and non-parametric fits are possible, the former according to Bond Curve Fit Method
Dual bootstrapping is also supported when the input rates are any of swap rates, OIS rates or BMA ibor fractions, in which case the additional input of an exogenous discounting yield curve s required.