Overview

Summary

Curves content objects gives your application an easy access to curves calculations.

Example of usage

const forwardCurveDefinition = {
    indexTenor: '3M',
    forwardCurveTag: 'ForwardTag',
    forwardStartDate: '2021-02-01',
    forwardCurveTenors: ['0D', '1D'],
};

const swapCurveDefinition = {
    currency: 'EUR',
    indexName: 'EURIBOR',
    discountingTenor: 'OIS',
};

const forwardCurveRequestItem = {
    curveDefinition: swapCurveDefinition,
    forwardCurveDefinitions: [forwardCurveDefinition],
};

const curves = IPA.Curves.ForwardCurve.Definition(
    forwardCurveRequestItem,
);

try {
    const forwardCurvesData = await curves.getData(session);
    console.log('ForwardCurves data: ', forwardCurvesData.data.raw);
} catch (err) {
    console.log(err);
} finally {
    session.close();
}