LSEG Data Library for TypeScript

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About Curves ZcCurves

The ZcCurves class allows zero coupon curves to be constructed using multiple ZcCurve definitions.

IPA.Curves.ZcCurves.Definition object

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

Syntax

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

Parameters

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

Curves.ZcCurves.Params properties:

Value Description Data type Optional Default value
universe A list of ZcCurve.Definition (see ZcCurve.Definition). ContentDefinition<any, ZcCurve.Params>[] No -
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 curves:

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

const definition1 = IPA.Curves.ZcCurve.Definition({
    curveDefinition: {
        currency: 'EUR',
        indexName: 'EURIBOR',
        source: 'Refinitiv',
        discountingTenor: '1Y',
        name: "EUR EURIBOR Swap ZC Curve",
    },
});

const definition2 = IPA.Curves.ZcCurve.Definition({
    curveDefinition: {
        currency: 'EUR',
        indexName: 'EURIBOR',
        source: 'Refinitiv',
        discountingTenor: '1Y',
        name: "EUR EURIBOR Swap ZC Curve",
    },
});

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