Setting up the yield curve file
Contents |
Setting up the yield curve file
Differences from Version 1
Please note that the format of the yield curve file has changed from that used in version 1 of FIA. The changes are:
- No credit rating column is used, so there are now four columns instead of five.
- The order of the columns has changed.
- In versions 2.0.6 and later, the requirement that there be at least three points for each yield curve at each date has been removed. A curve can now be defined by a single point at each date, which specifies the level of the curve at all maturities. In this case, the curve is flat.
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.
Yields are recorded in decimal format. A 5% yield is recorded as 0.05.
All rows in the yield curve file must conform to the following format:
| Column | Field | Type | Example | Required? | Rules |
|---|---|---|---|---|---|
| 1 | Curve name | String | AUD_CURVE | Yes | Must be a string with at least 3 characters |
| 2 | Date | Date | 31/12/12 | Yes | Date of current curve, using the date format supplied in the DateFormat or YieldcurveDateFormat strings |
| 3 | Maturity | Double | 0.25 | Yes | Tenor point on the curve, for the following rate, in years. Must be a non-negative real number |
| 4 | Rate | Double | 0.04554 | Yes | Yield of curve at given date and tenor point.
Must be a real number. Must be entered in absolute terms (ie 3.5% yield is recorded as 0.035, not 3.5) |
Each row in the file contains the yield for a given curve name, date and maturity. The tuple (Curve name, Date, Maturity) must be unique, and duplicate curve points within the same file will generate an error.
Date
Entries in the Date column must conform to the relevant date format string in the project’s configuration file .
Yield curve data can be supplied at any frequency you wish, including daily, weekly or monthly. We recommend daily data for most accurate results. If a few days are missing, FIA will use the most recent data available up to that point for attribution.
Maturity
This field holds the position of the current yield along the yield curve from the current date, in years. For instance, a value of 5 refers to the 5-year point on the current yield curve.
Rate
This field contains the yield for the supplied curve, date and maturity.
