LSEG Data Library for TypeScript

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About Curves ZcCurve

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

IPA.Curves.ZcCurve.Definition object

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

Syntax

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

Parameters

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

Curves.ZcCurve.Params properties:

Value Description Data type Optional Default value
curveDefinition The definition of attributes for the curve (see ZcCurve.CurveDefinition). object No -
curveParameters Parameters used to construct the curve (see ZcCurve.ZcCurveMainParameters). 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 -
outputs The list of outputs which can be requested. 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 zero coupon curve:

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

const definition = IPA.Curves.ZcCurve.Definition({ 
    curveDefinition: {
        currency: 'EUR',
        indexName: 'EURIBOR',
        source: 'Refinitiv',
        name: "EUR EURIBOR Swap ZC Curve",
        discountingTenor: '3M',
    }
});
`
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