About Curves ForwardCurves

The ForwardCurves class allows the construction of forward curves using multiple ForwardCurve definitions.

IPA.Curves.ForwardCurves.Definition object

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

Syntax

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

Parameters

Curves.ForwardCurves.Params properties:

Returned value

ContentDefinition object.

Usage

The following example demonstrates how to create a definition for ForwardCurves:

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

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

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

const definition1 = IPA.Curves.ForwardCurve.Definition({
    curveDefinition: swapCurveDefinition,
    forwardCurveDefinitions: [forwardCurveDefinition],
});

const definition2 = IPA.Curves.ForwardCurve.Definition({
    curveDefinition: swapCurveDefinition,
    forwardCurveDefinitions: [forwardCurveDefinition],
});

const definition = IPA.Curves.ForwardCurves.Definition({
    universe: [definition1, definition2],
    outputs: ['ShouldBeOverriddenByExtendedParams'],
});
`

Related Links

• ForwardCurve definition