LSEG Data Library for TypeScript

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ZcCurve.ZcCurveMainParameters

ZcCurveMainParameters properties for ZcCurve:

Value Description Data type Optional Default value
calendarAdjustment The cash flow adjustment according to the selected calendar (see CalendarAdjustment). enum Yes -
calendars The list of comma-separated calendar codes used to define non-working days and to adjust the curve coupon dates and values (e.g., 'EMU_FI'). string[] Yes -
convexityAdjustment The definition of attributes for the curve convexity adjustment (see ConvexityAdjustment). object Yes -
extrapolationMode The extrapolation method used in the curve bootstrapping (see ExtrapolationMode). enum Yes -
interestCalculationMethod The day count basis method used to compute the points of the curve (see DayCountBasisConvention). enum Yes -
interpolationMode The interpolation method used in the curve bootstrapping (see InterpolationMode). enum Yes -
pivotCurveParameters The list of parameters used to define the pivot curve which is used for evaluation of the adjusted curve (see Parameters). object Yes -
priceSide The quoted price side of the instrument to be used for the curve construction (see PriceSide). enum Yes -
referenceTenor The tenor of the curve index for which the curvePoints are computed (e.g., '3M'). string Yes -
steps The list of attributes used to calculate the swap rate surface of the discount curve, when OIS is selected as discount curve. The steps can specify overnight index stepped dates or/and rates (Step[] see Step). object[] Yes -
turns The list of attributes used to take the impact of user-defined turn dates into account (see Turn). object[] Yes -
useConvexityAdjustment An indicator as to whether the convexity adjustment is applied for the pricing. boolean Yes -
useMultiDimensionalSolver An indicator as to whether the multi-dimensional solver for yield curve bootstrapping must be used. boolean Yes -
useSteps An indicator as to whether steps are used. boolean Yes -
valuationDate The date and time at which the curve is constructed. The value is expressed in ISO 8601 format: YYYY-MM-DDT00:00:00Z. string Yes -
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