Yield_Curve

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 following market input data are supported:

Futures prices'

Forward rates'

Swap rates'

Bond prices'

OIS rates'

BMA ibor fractions'

Some of the above rates/prices allow alternative specifications, as follows:

Deposit rates <--> Yield Curve::Deposit Input

Futures prices <--> Yield Curve::Futures Input

Forward rates <--> Yield Curve::FRA Input

If bond prices alone are used, both parametric and non-parametric fits are possible, the former according to Bond Curve Fit Method

Dual bootstrapping is also supported when the input rates are any of swap rates, OIS rates or BMA ibor fractions, in which case the additional input of an exogenous discounting yield curve s required.

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::Interpolation Method

The following functions are also available within

Yield Curve Functions