Yield Curve Swaps
TYPE
Yield Curve
Valuation
Market
Type
Issuer
Riskless Issuer
Currency
USD
TS Daycount
ACT/365F
-Implied Crv
true
false
-Use Discount Factors
true
false
-Use Overnight Rate Jumps
true
false
-Use Deposits
true
false
-Use Futures
true
false
-Use Forwards
true
false
-Use Ibor Swaps
true
false
-Use Bonds
true
false
-Use OIS
true
false
-Use BMA
true
false
-Use FX Forwards
true
false
-Use FX Basis Swaps
true
false
-Use Tenor Basis Swaps
true
false
Market Data
YldCrvSwp
Modelled Qty
Discount
Fwd Rate
Zero Yield
Zero Yield Annual
Interp Method
Backwd Flat
Comp Cubic
Comp Linear
Convex Mono
Cubic
Fin Cubic
Fin Log Cubic
Fwd Flat
Kruger Cubic
Kruger Log Cubic
Lagrange Cubic
Lagrange Log Cubic
Linear
Log Cubic
Log Linear
Log Mxd BwdFlat Cubic
Log Mxd FwdFlat Cubic
Log Mxd Lin Cubic
Mxd BwdFlat Cubic
Mxd FwdFlat Cubic
Mxd Lin Cubic
Nat Cubic
Nat Log Cubic
-Define Interpolator
true
false
Interpolator
Build Method
Global BS
Iterative BS
Local BS
-Custom Bootstrap
true
false
Bootstrap Spec
IterBS
Tolerance
1e-12
-Boost
true
false
Booster
_Max Quote Move
0
_Curve Pegs
30-Mar-2022
03-Apr-2023
02-Apr-2024
_Curve Values
0.004998510118859546
0.004998510118859546
0.009986226255907319
_First Derivs
_Second Derivs
In parent: Valuation
Quotable
USD crv
Value
_Cash Flows
Yield Curve Swaps CF
In parent: Market
ID
Trade Date
30-Mar-2022
_Contained Valuations
_Referenced Valuations
