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oShiftZC( ) Function

Component

Resolution - Utility

 

Function Definition

oShiftZC(ValueDate, Shift, ZeroCurve)

Shifts a zero curve by a given number of basis points.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

The valuation date of the instrument.

 

Date

 

 

Shift

 

Number of basis points the zero curve is to be shifted by.

 

Double

 

 

ZeroCurve

The zero curve that is used to project and discount cash flows for the floating leg.

 

Curve

 

 

 

 

 

 

 

 

 

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