Yield Curve Swp


Yield Curve Swp is a direct subtype of Yield Curve Input
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Yield Curve Swp Functions, keys Yield Curve Swp keys and example object YldCrvSwp#1

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Swp

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Calendar

Disc Crv

EOM

Flt Pmt Lag

Fxd DayCount

Fxd Pmt Lag

Fxd Ref Period

Ibor Index

Indexed Coupon

Pillar Choice

Set

Start Delay

</defs>

TYPICAL OBJECTS OF TYPE Yield Curve Swp

YldCrvSwp

</defs>

This type represents market rates of interest rate swaps 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 Swp type as value next to the key Market Data in the formula that creates the TARGET CURVE

Semi-Dual bootstrapping is also supported through the additional input of an exogenous discounting yield curve.