CapeTools Curves
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In total there are 11 functions present within the CapeTools Curves category of functions.
General Description
Given deposit, futures, FRAs and Swap instruments, these functions can strip out a discount factor (yield) curve. One can also input discount factor rates directly, or strip from zero rates or forward rates.
Usually when pricing a floating leg, you need two yield curves. A fixing curve in order to fix the rate and a discount curve for discounting cashflows. You will see this in numerous functions where a fixing curve is passed to an Index function and a discount curve is passed to legs (or instruments) that require discounting.
Thus basically you have a special discount curve for calculating the forward rates but the discount factors within this curve are NOT used for discounting cashflows.
We have implemented a curve that produces both a fixing curve and a discounting curve within a single yieldcurve object. Thus the same yieldcurve key will be passed to both the FixingCurve parameter and the discountingCurve parameter when pricing an instrument that demands both parameters (see CapeTools XCCY Curves).
These curves can also serve as input to the interest rate risk engine in order to compute DELTA and GAMMA risk parameters for an interest rate structure.
Function list.
- CreateMKT - Creates a market object which is an aggregate of interest rate market objects (Discounting curve and Interest rate volatility curve (volcurve)).
- DiscountCurve - Creates a discount curve from Tenors (or Dates) and discount factor inputs.
- DiscountCurve2 - Creates a discount curve from Tenors (or Dates) and discount factor inputs.
- FlatYieldCurve - Creates a yield curve from a single input rate.
- ForwardCurve - Creates a simple forward curve from Tenors (or Dates) and forward rates (annual continuos act.365).
- ForwardCurve2 - Creates a simple forward curve from Tenors (or Dates) and forward rates (annual continuos act.365).
- MKTYC_D - Creates a yield curve using market rates (No cross-currency Swaps).
- MKTYC_F - Creates a yield curve using market rates (No cross-currency Swaps).
- MKTYC_Z - Creates a yield curve using market rates (No cross-currency Swaps).
- ZeroCurve - Creates a simple zero curve from FRA Tenors (or Dates) and zero rates.
- ZeroCurve2 - Creates a simple zero curve from FRA Tenors (or Dates) and zero rates.
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