Yield Curve Jmp


Yield Curve Jmp is a
direct subtype of Yield Curve Input with functions Yield Curve Jmp Functions, keys Yield Curve Jmp keys and example object YldCrvJmp that represents pressumed known jumps in overnight forward rates that may be used as input to a yield curve construction.

Web blog example
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.

The following types of jumps are supported:
Jump Type