This field specifies the name of the yield curve(s) to be used for pricing and attribution on the current security. Note that some securities, such as equities, do not requre a yield curve for pricing. I this case, the Curves field may be left blank for such securites.
- All named curves must be set up in the yield curve file.
- Curves must be named in descending order of credit-worthiness, so the name of the highest rated curve always comes first. If the curves are in the wrong order, the return generated by changes in their relative spreads will have the wrong sign.
- If there is more than one curve, their names must be separated by a pipe (|) symbol.
- If more than one curve is provided, the return due to the change in spread between each curve pair will be shown on the attribution report.
For instance, a corporate bond might have this field set to RISK_FREE_CURVE|SECTOR CURVE. Here, an attribution analysis will calculate the returns made
- by movements in RISK_FREE_CURVE, and
- by changes in the spread,between RISK_FREE_CURVE and SECTOR_CURVE.
Similarly, a bond with this field set to SOVEREIGN_CURVE|SWAP_CURVE|SECTOR_CURVE will generate
- returns due to movements in SOVEREIGN_CURVE
- returns due to changes in the spread between and SOVEREIGN_CURVE and SWAP_CURVE
- returns due to changes in the spread between SWAP_CURVE and SECTOR_CURVE