Yield Curve Tnb


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

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Tnb

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Build Rule

Curve On Short

Disc Crv

Index Curve

Long Index

Multiple Spread

Regular Period

Set

Short Accr Prd

Short Index

Spread On Short

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TYPICAL OBJECTS OF TYPE Yield Curve Tnb

YldCrvTnb

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

Two indices of differing tenor must be provided and they referred to as the short and long index.
Any one of these two indices must be accompanied by an exogenously provided yield curve, which is used to predict the future fixings of the respective tenor.
Then the input market spreads refer to tenor basis swaps between the specified short and long index and are assumed to be added to either the short or the long index.
The discount factors associated with the other index (the one without the yield curve) are then constructed in such a way that each input tenor basis swap is valued to equal exactly zero.
Optionally an exogenous discounting yield curve may be used to discount cash flows associated with the index being bootstrapped, which effectively amounts to exogenous dual bootstrapping.
In the latter case, the TARGET CURVE can be used to forecast the bootstrapped index whenever collateralized cash flows linked to that index need to be valued.