The yield curve file supplies information about the term structure of interest rates.
Overview
The yield curve file supplies information about yield curves for various ratings over time. Any number of rows may be entered into the file, but there must always be exactly four columns as shown below.
The yield curve file can be used to store zero curves, par curves, sector curves, swap curves, or any other type depending on the requirements of the securities you are modelling.
Unused or unreferenced curves are ignored.
Yield curve file structure
Each row in the yield curve file must have exactly four entries.
Click on the link in the ‘Name’ field to see specific information about each field.
Col | Name | Required | Type | Description |
1 | Yes | String | Name of yield curve | |
2 | Yes | Date | Date of sample | |
3 | Yes | Real | Tenor of sample point | |
4 | Yes | Real | Yield |
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