Yield Curve Bma


Yield Curve Bma is a
direct subtype of Yield Curve Input with functions Yield Curve Bma Functions, keys Yield Curve Bma keys and example object YldCrvBma that represents market prices of BMA swaps that may be used as input to a yield curve construction.
Technically, the mentioned curve is created by feeding an object of this type as value next to the key
Market Data in the formula that creates the Yield Curve object.

Semi-Dual bootstrapping is also supported through the additional input of an exogenous discounting yield curve.
Alternative VaR specifications:
VaR Type