LSEG Data Library for TypeScript

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About Curves ForwardCurve

The ForwardCurve class constructs the forward zero coupon curve with user-defined definitions and parameters. The forward zero coupon can be priced with or without a collateral currency.

IPA.Curves.ForwardCurve.Definition object

This object creates the definition of information about the ForwardCurve that we want to get.

Syntax

Curves.ForwardCurve.Definition(params: Curves.ForwardCurve.Params)

Parameters

Value Description Data type Optional Default value
params An object literal of type Curves.ForwardCurve.Params object No -

Curves.ForwardCurve.Params properties:

Value Description Data type Optional Default value
curveDefinition The definition of attributes for the curve (see ForwardCurve.SwapZcCurveDefinition). object No -
forwardCurveDefinitions The definition of attributes for the forward curve (see ForwardCurve.CurveDefinition). object No -
curveParameters The list of parameters used to construct the curve (see ForwardCurve.SwapZcCurveParameters). object[] Yes -
curveTag A user-defined string to identify the curve. It can be used to link output results to the curve definition. string[] Yes -
extendedParams Additional parameters to apply to the request. object Yes -

Returned value

ContentDefinition object.

Usage

The following example demonstrates how to create a definition for the forward curve.

import { IPA } from '@lsegroup/data';

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

const swapCurveDefinition = {
    currency: 'EUR',
    indexName: 'EURIBOR',
    discountingTenor: 'OIS',
    name: "EUR EURIBOR Swap ZC Curve",
};

const definition = IPA.Curves.ForwardCurve.Definition({
    curveDefinition: swapCurveDefinition,
    forwardCurveDefinitions: [forwardCurveDefinition],
});
`
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