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Yield_CurveYield Curve is a 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 following market input data are supported:
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:
Yield Curve Functions