Yield Curve Bnd


Yield Curve Bnd is a
direct subtype of Yield Curve Input with functions Yield Curve Bnd Functions, keys Yield Curve Bnd keys and example object YldCrvBnd that represents market prices of bonds that may be used as input to a yield curve construction.

Web blog examples
here and here and here

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.

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