EMA C++ RDM Usage Guide : 10 Yield Curve Domain : 10.3 Data : 10.3.3 Yield Curve Input and Output Entries
 
10.3.3 Yield Curve Input and Output Entries
Each VectorEntry houses a FieldList that contains specific information about the respective input or output. The field list should be decoded by checking the FieldEntry data type.
For more information on dictionary use, refer to Section 5.2.
For more information about use of the Vector and FieldList container types, refer to the Enterprise Message API C++ Edition Developers Guide.
The following table contains additional information about input and output entries (all of which are of the Vector container type with a container entry type of FieldList).
 
Table 69: Yield Curve Inputs and Outputs  
NAME
Field Name
Type
Description
Cash Rates
CASH_RATES
Input
Contains cash rate data used to calculate the yield curve output. This typically includes information like settlement date (CASH_SDATE), maturity date (CASH_MDATE), and basis (CASH_BASIS).
Future Prices
FUTR_PRCS
Input
Contains future pricing data used to calculate the yield curve output; typically including data such as settlement date (FUTR_SDATE), maturity date (FUTR_MDATE), and basis (FUTR_BASIS).
Swap Rates
SWAP_RATES
Input
Contains swap rate data used to calculate the yield curve output; typically including data such as settlement date (SWAP_SDATE), maturity date (SWAP_MDATE), swap rate value (SWAP_RATE_VAL), and roll date (SWAP_RDATE).
Spread Rates
SPRD_RATES
Input
Contains spread rate data used to calculate yield curve output; typically including data such as spread frequency (SPRD_FREQ), maturity date (SPRD_MDATE), spread rate (SPRD_RATE), and roll date (SPRD_RDATE).
Yield Curve
YLD_CURVE
Output
Contains calculated Yield Curve data; typically including data such as zero rate (YCT_ZRATE), forward rate (YCT_FWRATE), and discount factor (YCT_DISFAC).