Yield Curve Bma


Yield Curve Bma is a direct subtype of Yield Curve Input
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with functions Yield Curve Bma Functions, keys Yield Curve Bma keys and example object YldCrvBma

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Bma

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

DateBump

DayCount

Disc Crv

Ibor Index

Period

Prev Wed Fixing

Set

Settle Days

VaR Drift

VaR Process

VaR Type

VaR Vol

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TYPICAL OBJECTS OF TYPE Yield Curve Bma

YldCrvBma

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This type represents market prices of BMA swaps that may be used as input to construct a curve (i.e. an object of type Yield Curve), referred to as TARGET CURVE below.
Technically, the TARGET CURVE is created by feeding an object of the Yield Curve Bma type as value next to the key Market Data in the formula that creates the TARGET CURVE

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