YieldCurve Related Functions

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YieldCurve Construction Functions

`Excel: =McpYieldCurve2(args1, args2, args3, args4, args5, fmt="VP|HD")`

**`Python: McpYieldCurve2(*args)`**

Function: Constructs a bilateral yield curve.
Parameters:
- args1~args5 or *args: Parameter groups, supporting the following three input methods:
  1. Interest Rate Data Construction:
    - ReferenceDate: Trade date or valuation date.
    - Tenors: Array of tenors.
    - BidZeroRates: Array of bid-side zero rates.
    - AskZeroRates: Array of ask-side zero rates.
    - Frequency: Period (default is NoFrequency).
    - Variable: Interest rate type (default is SIMPLERATES).
    - Method: Interpolation method (default is LINEARINTERPOLATION).
    - Calendar: Holiday calendar object (default is empty).
    - DayCounter: Day count convention (default is Act360).
    - ValueDate: Value date.
  2. Bid/Ask Yield Curve Construction:
    - BidYieldCurve: Bid-side yield curve object.
    - AskYieldCurve: Ask-side yield curve object.
  3. Forward Curve Construction:
    - FxForwardPointsCurve2: Forward curve object.
    - YieldCurve2: Yield curve object.
    - CalculatedTarget: Calculation target (enumeration value).
    - Calendar: Holiday calendar object.
- fmt: Parameter format (default is VP|HD),Excel-specific parameters.
Returns: Bilateral yield curve object.

`Excel: =McpYieldCurve(args1, args2, args3, args4, args5, fmt="VP|HD")`

**`Python: McpYieldCurve(*args)`**

Function: Constructs a unilateral yield curve.
Parameters:
- args1~args5 or *args: Parameter groups, supporting the following two input methods:
  1. Date Parameters:
    - ReferenceDate: Trade date or valuation date.
    - Dates: Array of dates.
    - ZeroRates: Array of zero rates.
    - Frequency: Period (default is NoFrequency).
    - Variable: Interest rate type (default is SIMPLERATES).
    - Method: Interpolation method (default is LINEARINTERPOLATION).
  2. Tenor Parameters:
    - ReferenceDate: Trade date or valuation date.
    - Tenors: Array of tenors.
    - ZeroRates: Array of zero rates.
    - Method: Interpolation method (default is LINEARINTERPOLATION).
    - Calendar: Holiday calendar object (default is empty).
    - DayCounter: Day count convention (default is ActActISDA).
    - ValueDate: Value date.
- fmt: Parameter format (default is VP|HD),Excel-specific parameters.
Returns: Unilateral yield curve object.

YieldCurve Usage Functions

`Excel: =YieldCurve2ZeroRate(Curve, Date, BidMidAsk)`

**`Python: ZeroRate(*args)`**

Function: Retrieves the zero rate for a specified date from a bilateral yield curve.
Parameters:
- Curve: Bilateral yield curve object.
- Date: Target date.
- BidMidAsk: Specifies the direction (bid, mid, or ask).
- *args：is a dictionary, does not require the Curve parameter, other parameters are the same as those in Excel.
Returns: Zero rate for the specified direction.

Example:

=YieldCurve2ZeroRate(McpYieldCurve2(...), "2023-12-31", "mid")

Returns 0.025 (assuming the mid rate is 2.5%).

`Excel: =YieldCurveZeroRate(Curve, Date)`

`Python: ZeroRate(endDate)`

Function: Retrieves the zero rate for a specified date from a unilateral yield curve.
Parameters:
- Curve: Unilateral yield curve object,Python API does not require this parameter.
- Date: Target date.
Returns: Zero rate.

`Excel: =YieldCurve2DiscountFactor(Curve, Date, BidMidAsk)`

**`Python: DiscountFactor(*args)`**

Function: Retrieves the discount factor for a specified date from a bilateral yield curve.
Parameters:
- Curve: Bilateral yield curve object.
- Date: Target date.
- BidMidAsk: Specifies the direction (bid, mid, or ask).
- *args：is a dictionary, does not require the Curve parameter, other parameters are the same as those in Excel.
Returns: Discount factor for the specified direction.

`Excel: =YieldCurveDiscountFactor(Curve, Date)`

**`Python: DiscountFactor(*args)`**

Function: Retrieves the discount factor for a specified date from a unilateral yield curve.
Parameters:
- Curve: Unilateral yield curve object.
- Date: Target date.
- *args：is a dictionary, does not require the Curve parameter, other parameters are the same as those in Excel.
Returns: Discount factor.

SwapCurve Construction Functions

`Excel: =McpVanillaSwapCurveData(args, data)`

**`Python: McpVanillaSwapCurveData(*args)`**

Function: Constructs a unilateral SwapCurve.
Parameters:
- args or *args: Parameter group, supporting the following three input methods:
  1. First Parameter Set:
    - ReferenceDate: Trade date or valuation date.
    - StartDate: Start date.
    - MaturityDates: Array of maturity dates.
    - Frequencies: Array of frequencies.
    - Coupons: Array of coupon rates.
    - FixedDayCounter: Fixed leg day count convention (default is Act365Fixed).
    - FloatDayCounter: Floating leg day count convention (default is Act365Fixed).
    - BumpAmounts: Array of rate bumps (e.g., 0.01 adds 0.01 to all rates).
    - BUses: Whether to use the row data (Y or N).
    - Calendar: Array of holiday calendars.
    - AdjustRule: Adjustment rule (default is ModifiedFollowing).
    - UseIndexEstimation: Whether to use floating rate index estimation (default is TRUE).
    - SwapStartLag: Value date adjustment (default is 2).
    - CompoundingFrequency: Compounding frequency (default is 0).
    - FixInAdvance: Fixed in advance flag (default is true).
    - FixDaysBackward: Floating rate fixing days backward (default is 1).
    - EndStub: Default is false.
  2. Second Parameter Set:
    - Similar to the first set but omits some parameters.
  3. Third Parameter Set:
    - Similar to the first set but adds FixingIndex, FixingRateMethod, etc.
- data: Market data for the SwapCurve.
Returns: Unilateral SwapCurve object.

`Excel: =McpSwapCurve(args1, args2, args3, args4, args5, fmt="VP")`

**`Python: McpSwapCurve(*args)`**

Function: Constructs a unilateral SwapCurve object.
Parameters:
- args1~args5 or *args: Parameter groups, supporting the following two input methods:
  1. First Parameter Set:
    - SettlementDate: Trade date.
    - CalibrationSet: Portfolio of instruments (e.g., VanillaSwaps or Deposits) used to build the curve.
    - InterpolatedVariable: Interest rate type (enumeration value).
    - InterpolationMethod: Interpolation method (enumeration value).
    - DayCounter: Day count convention (default is Act365Fixed).
    - UseGlobalSolver: Whether to use a global solver (default is True).
    - PillarEndDate: Default is 0.
  2. Second Parameter Set:
    - ReferenceDate: Trade date.
    - InterpolatedVariable: Interest rate type (enumeration value).
    - InterpolationMethod: Interpolation method (enumeration value).
    - FixedDayCounter: Fixed leg day count convention (default is Act365Fixed).
    - FloatDayCounter: Floating leg day count convention (default is Act365Fixed).
    - DayCounter: Day count convention (default is Act365Fixed).
    - Calendar: Holiday calendar object.
    - AdjustRule: Adjustment rule (enumeration value).
    - SettlementDates: Array of settlement dates.
    - MaturityDates: Array of maturity dates.
    - Coupons: Array of coupon rates.
    - FixedFrequencies: Array of fixed leg frequencies.
    - FloatingFrequencies: Array of floating leg frequencies.
    - BumpAmounts: Array of rate bumps.
    - BUses: Whether to use the row data (Y or N).
- fmt: Parameter format (default is VP),Excel-specific parameters.
Returns: Unilateral SwapCurve object.

`Excel: =McpSwapCurve2(args1, args2, args3, args4, args5, fmt="VP")`

Function: Constructs a bilateral SwapCurve object.
Parameters: Similar to McpSwapCurve, supporting two input methods.
Returns: Bilateral SwapCurve object.

SwapCurve Usage Functions

`Excel: =SwapCurveZeroRate(curve, date)`

`Python: ZeroRate(endDate)`

Function: Retrieves the zero rate for a specified date from a SwapCurve.
Parameters:
- curve: Swap curve object,Python API does not require this parameter.
- date: Target date.
Returns: Zero rate.

`Excel: =SwapCurveZeroRates(curve, dates, fmt='V')`

Function: Retrieves zero rates for multiple dates from a SwapCurve.
Parameters:
- curve: Swap curve object.
- dates: Array of dates.
- fmt: Return format (default is V).
Returns: Array of zero rates.

`Excel: =SwapCurveDiscountFactor(curve, date)`

`Python: DiscountFactor(endDate)`

Function: Retrieves the discount factor for a specified date from a SwapCurve.
Parameters:
- curve: Swap curve object,Python API does not require this parameter.
- date: Target date.
Returns: Discount factor.

`Excel: =SwapCurveDiscountFactors(curve, dates, fmt='V')`

Function: Retrieves discount factors for multiple dates from a SwapCurve.
Parameters:
- curve: Swap curve object.
- dates: Array of dates.
- fmt: Return format (default is V).
Returns: Array of discount factors.

`Excel: =YieldCurveForwardRate(curve, startDate, endDate, dayCounter=DayCounter.Act365Fixed, compounding=False, frequency=Frequency.NoFrequency)`

`Python: ForwardRate(startDate, endDate, dayCounter, compounding, frequency)`

Function: Retrieves the forward rate from a SwapCurve.
Parameters:
- curve: Swap curve object,Python API does not require this parameter.
- startDate: Start date.
- endDate: End date.
- dayCounter: Day count convention (default is Act365Fixed).
- compounding: Whether to use compounding (default is false).
- frequency: Compounding frequency (default is NoFrequency).
Returns: Forward rate.

Notes

Parameter Format: The fmt parameter specifies the format of the parameters, with a default value of VP|HD or VP.
Enumeration Values: Some parameters (e.g., Frequency, Variable, Method) are enumeration values. Refer to specific definitions for details.
Default Values: Parameters not explicitly stated usually have default values, which can be adjusted as needed.