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). |