YieldCurve: Interest Rate Curve Case Study
Less than 1 minute
YieldCurve: Interest Rate Curve Case Study
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The YieldCurve case study provides methods for constructing both single-sided and double-sided yield curves, as well as extracting interest rates and discount factors for specified maturities from the yield curve.
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YieldCurve Case Study Template: Function Descriptions
1. Holiday Calendar Construction Functions
- McpCalendar：Constructs a holiday calendar object for one or more currency pairs.
- McpNCalendar：Constructs a holiday calendar object for multiple currencies.
2. YieldCurve Construction Functions
- McpYieldCurve2： Constructs a double-sided YieldCurve object.
- McpYieldCurve：Constructs a single-sided YieldCurve object.
3. Maturity Date Calculation Functions
- CalendarFXOExpiryDateFromTenor：Calculates the expiry date based on the given tenor.
4. YieldCurve Interest Rate Extraction Functions
- YieldCurve2ZeroRate： Retrieves the interest rate for a specified maturity date from a double-sided YieldCurve.
- YieldCurveZeroRate：etrieves the interest rate for a specified maturity date from a single-sided YieldCurve.
5. YieldCurve Discount Factor Extraction Functions
- YieldCurve2DiscountFactor：Retrieves the discount factor for a specified maturity date from a double-sided YieldCurve.
- YieldCurveDiscountFactor：Retrieves the discount factor for a specified maturity date from a single-sided YieldCurve.