ForwardCurve.Definition
Summary
The method is used to create the Definition for a ForwardCurve.
Methods
Definition(params: ForwardCurve.SwapZcCurveDefinition | ForwardCurve.Params, curveDefinitions?: ForwardCurve.CurveDefinition[])
Allows you to create a ForwardCurve Definition object
ForwardCurve.Params properties
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| curveDefinition | No | - | SwapZcCurveDefinition[] | See ForwardCurve.SwapZcCurveDefinition bellow |
| forwardCurveDefinitions | No | - | CurveDefinition[] | See ForwardCurve.CurveDefinition bellow |
| curveParameters | Yes | - | SwapZcCurveParameters[] | See ForwardCurve.SwapZcCurveParameters bellow |
| curveTag | Yes | - | string | - |
| outputs | Yes | - | Output[] | See ForwardCurve.Output |
| extendedParams | Yes | - | {[key: string]: any} | Specifies the parameters that will be merged with the request |
ForwardCurve.SwapZcCurveDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| currency | Yes | - | string | - |
| discountingTenor | Yes | - | string | - |
| id | Yes | - | string | - |
| indexName | Yes | - | string | - |
| indexTenors | Yes | - | string[] | |
| mainConstituentAssetClass | Yes | - | enum | See MainConstituentAssetClass |
| name | Yes | - | string | - |
| riskType | Yes | - | enum | See RiskType |
| source | Yes | - | string | - |
| outputs | Yes | - | string[] | - |
ForwardCurve.CurveDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| forwardCurveTag | No | - | string | - |
| indexTenor | No | - | string | - |
| forwardStartDate | No | - | string | - |
| forwardCurveTenors | Yes | - | string[] | - |
| forwardStartTenor | Yes | - | string | - |
ForwardCurve.SwapZcCurveParameters
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| calendarAdjustment | Yes | - | enum | See CalendarAdjustment |
| calendars | Yes | - | string[] | - |
| convexityAdjustment | Yes | - | ConvexityAdjustment[] | See ConvexityAdjustment bellow |
| extrapolationMode | Yes | - | enum | See ExtrapolationMode |
| interestCalculationMethod | Yes | - | enum | see DayCountBasisConvention |
| interpolationMode | Yes | - | enum | see InterpolationMode |
| priceSide | Yes | - | enum | see PriceSide |
| referenceTenor | Yes | - | string | - |
| steps | Yes | - | Step[] | see Step bellow |
| turns | Yes | - | Turn[] | see Turn bellow |
| useConvexityAdjustment | Yes | - | boolean | - |
| useMultiDimensionalSolver | Yes | - | boolean | - |
| useSteps | Yes | - | boolean | - |
| valuationDate | Yes | - | string | - |
ForwardCurve.ConvexityAdjustment
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| meanReversionPercent | Yes | - | number | - |
| volatilityPercent | Yes | - | number | - |
ForwardCurve.Step
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| date | No | - | string | - |
| ratePercent | No | - | number | - |
ForwardCurve.Turn
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| month | No | - | number | - |
| year | No | - | number | - |
| ratePercent | No | - | number | - |
Returned value: a Definition object
getData(session: Session)
Description: Sends a request to the data platform to retrieve the data described by the Definition object.
Parameters:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| session | No | - | Session | Session instance |
Returned value: a ContentResponse