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Zero Curve

Resolution supports the construction of a zero curve that is based on the integration of a set of cash rates and a set of swap rates. This is called the integrated swap curve. Irrespective of the accrual basis for both sets of input rates, the output zero rates are expressed on an Actual / 365 basis.

 

Many other functions in Resolution rely on the zero curve as an input parameter. The easiest way to supply the necessary data is to use a named range of cells within a worksheet. That range consists of three columns: the maturity date for each rate, the corresponding zero rate, and the corresponding discount factor (see Zero Curve). Users can either:

  • Supply the data directly as a "User Input" Zero Curve; or
  • Construct the output curve using the oZCcash_swap() function.

 

Because the relevant parameters for both the cash curve and the swaps curve can be set by the user, this function can be used to produce output zero curves that are consistent with the conventions in all markets.

 

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