## Yield Curve

**is a direct subtype of Valuation**

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#### TYPE INCLUSION RELATIONSHIPS

#### AVAILABLE FUNCTIONS

Add Fwd Spread

Check Accuracy

Create

DF

DF At Time

Fwd Curve

Fwd DF

Fwd DF At Time

Fwd Rate

Fwd Rate At Time

Get Peg Dates

Implied Values

Roll Curve

Shift Curve

Zero Rate

Zero Rate At Time

#### AVAILABLE CREATE FUNCTION KEYS

Booster

Bootstrap Spec

Build Method

Compounding

Currency

Flat Rate

Frequency

Interp Method

Interpolator

Issuer

Market Data

Modelled Qty

Store Deltas

TS Daycount

Tolerance

Curve Pegs

Curve Values

First Derivs

Max Quote Move

Second Derivs

Synthesized Curve

#### TYPICAL OBJECTS OF TYPE Yield Curve

This type represents what practitioners call a "yield curve", which in turn refers to the market available information about discount factors for all maturities.

Web blog example here

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 as input to the key Market Data

Note, there exist too many different variations of

**objects that can be created by using different combinations and types of such objects.**

*Yield Curve*For example, when swap rates alone are used as input, the produced

**object would typically look like Yield Curve Swaps**

*Yield Curve*The extraction of discount factors is not uniquely determined by the market inputs.

The discount factor is built for all possible times according to Build Method so that a certain mathematical quantity defined in Modelled Qty is interpolated according to Interp Method

In simple pricing contexts, a single

**suffices for providing the required discount factors.**

*Yield Curve*But in the presence of several currencies and floating rate indices, several curves may be needed that are distinguished from each other by their entries in the keys Currency and Issuer

Deriscope will issue an error, if, in any pricing context, two curves are supplied that agree in both these two important keys because of the ensuing ambiguity in choosing one of these curves.

Every constructed

**object contains three important read-only elements corresponding to the following keys:**

*Yield Curve*_Cash Flows

_Curve Pegs

_Curve Values