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Zero Curve Function Parameters

The following table defines each of the parameters used in the zero curve function.

 

Parameter

Definition

.

Accrual Basis

The accrual basis for the swap rates.

Business Day Convention

Used to determine the effective and maturity dates for the swap periods.

Cash Curve

The cash rates table consisting of five columns; Effective Date, Maturity Date, Cash Rate, Accrual Basis, and an In Use flag (true or false).

Frequency

The compounding frequency for the swap rates.

Holiday Schedule

Schedule of non-business days (excluding weekends).

Settlement Offset

The number of days after the valuation date that the swap rates are settled.

Swap Curve

The swap rates table consisting of four columns; Effective Date, Maturity Date, Swap Rate, and an In Use flag (true or false).

Value Date

Date on which the zero curve is constructed.

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