Yield Curve Swp

Yield Curve Swp is a direct subtype of Yield Curve Input with functions Yield Curve Swp Functions, keys Yield Curve Swp keys and example object YldCrvSwp#1 that represents market rates of interest rate swaps 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.

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