Yield Curve Fwd


Yield Curve Fwd is a direct subtype of Yield Curve Input
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with functions Yield Curve Fwd Functions, keys Yield Curve Fwd keys and example object YldCrvFwd#3

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Fwd

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

DayCount

EOM

Fixing

Ibor Index

Indexed Coupon

Input Method

Pillar Choice

Set

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TYPICAL OBJECTS OF TYPE Yield Curve Fwd

YldCrvFwd

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This type represents market rates of forward 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 Fwd type as value next to the key Market Data in the formula that creates the TARGET CURVE

The input forward rates may be supplied according to one of the methods described in Input Method