The Excel Derivatives Periscope



Yield Curve is a child type of Valuation that represents what practitioners call a "yield curve", which in turn refers to the market available information about discount factors for all maturities.
The yield curve is almost always a prerequisite to derivatives pricing.
Its purpose is to provide the market-implied
discount factor for any requested maturity.

The input market rates must be supplied as objects of type
Yield Curve Input

The extraction of discount factors is not uniquely determined by the market inputs.
The discount factor is built for all possible times according to
Yield Curve::Build Method so that a certain mathematical quantity defined in Yield Curve::Modelled Qty is interpolated according to Interpolation::Interp Method

Detailed usage information with several examples at Web reference available

The following
functions are also available within Yield Curve:
Yield Curve Functions