Setting up the yield curve file

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Setting up the yield curve file

Yield curve download utilities

As a service to our users, we supply utilities to download daily sovereign zero coupon (or spot rate) yield curve data for USD, GPB, JPY, EUR, automatically updated every 24 hours. Data is sourced from central banks. If you hold securities that require other yield curves, or if you wish to model credit curves, other sources of data are required.

Custom yield curves

You need only provide yield curves if (i) you are modeling securities for which we do not provide a sovereign curve; (ii) you need to use a particular set of rates; (iii) you are running credit analysis (FIA can handle multiple credit curves for the same market).

The yield curve file supplies information about zero coupon curves for various ratings over time. Any number of rows may be entered into the file, but there must always be exactly five columns as shown below.

All rows in the yield curve file must conform to the following format:

Column Field Type Example Required?
Column 1 Curve name String AUD_CURVE Yes
Column 2 Credit rating String AAA Yes
Column 3 Maturity Real 0.25 Yes
Column 4 Date Date 31/12/2000 Yes
Column 5 Zero coupon rate Real 4.554 Yes

Each row in the file contains the zero coupon rate for a given maturity, credit rate, date and curve.

Date

Entries in the Date column must conform to the relevant date format string in the project’s configuration file (see Chapter 4, Setting up the 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.

Currency

This field contains a three-character currency code. Currency codes follow the global ISO 4217 standard.

Maturity

This field holds the position of the current yield along the yield curve from the current date. For instance, a value of 5 refers to the 5-year point on the zero coupon curve.

Zero coupon rate

This field contains the appropriate zero coupon rate for the supplied currency, credit rating, date and maturity.

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