Yield Curve Bnd


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

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Bnd

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Bonds

Curve Fit Method

Input Method

Max Evaluations

Max Flat Iterations

Param Guess

Set

Simplex Lambda

Use Bonds

Use Curve Fit

VaR Drift

VaR Process

VaR Type

VaR Vol

Yield Spec

Curve Fit Solution

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TYPICAL OBJECTS OF TYPE Yield Curve Bnd

YldCrvBnd

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This type represents market prices of bonds that may be used as input to construct a curve (i.e. an object of type Yield Curve), referred to as TARGET CURVE below.

Web blog examples here and here and here

Technically, the TARGET CURVE is created by feeding an object of the Yield Curve Bnd type as value next to the key Market Data in the formula that creates the TARGET CURVE

Both parametric (such as Nelson-Siegel) and non-parametric fits are possible, the former according to Bond Curve Fit Method
Alternative VaR specifications: VaR Type