Yield Curve Dep


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

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Dep

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

DayCount

EOM

Fixing

Input Method

Pillar Choice

Set

Stub Rate

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TYPICAL OBJECTS OF TYPE Yield Curve Dep

YldCrvDep

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This type represents market rates of deposit contracts 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 example here

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

The input deposit rates are compounded according to the Simple compounding convention with the time length of the spanned period calculated according to a specified daycount.
They may be supplied according to one of the methods described in Input Method