Yield Curve Jmp


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

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Jmp

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AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Calendar

DayCount

Jump Type

Set

DF Multipliers

End Dates

Start Dates

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TYPICAL OBJECTS OF TYPE Yield Curve Jmp

YldCrvJmp

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This type represents presumed known jumps in overnight forward rates 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 Jmp type as value next to the key Market Data in the formula that creates the TARGET CURVE

The following types of jumps are supported:
Jump Type