Creating an Interest Rate Curve

To create an Interest Rate Curve, perform the following steps:

1. Click Add from the Interest Rate Curve Summary Page to display the Interest Rate Curve Page.
2. Enter the following information in the Interest Rate Curve Details Window.
   • Interest Rate Code: When constructing a new Yield Curve, you must specify an Interest Rate Code between 1 and 9999999. Interest Rate Codes are used internally to uniquely identify Yield Curves. When working with Cloud service, you reference Yield Curves by Name, not by Interest Rate Codes. Interest Rate Codes are embedded within your instrument data (for example, the INTEREST_RATE_CD columns within the Instrument Data are populated with Interest Rate Codes). After you have saved a Yield Curve, you cannot modify its Interest Rate Code.
   • Name: Provide a unique Name for the Interest Rate Curve.
   • Description: You can enter a description for the Interest Rate Curve. You can modify this description at any time using the Edit action.
   • Display for All Currencies: This flag allows you to designate certain Interest Rate Curves to make them available for assumption mapping to any currency. Assumption Rules filter the list of Interest Rate Codes based on the currency when defining assumptions for a specific Product/Currency combination. When this option is enabled, the Interest Rate Curve appears in assumption rules for all currencies.
   • Reference Currency: Select a Reference Currency for your Interest Rate Curve. You can change the Reference Currency for previously saved Interest Rate Curves though such changes are unlikely. An Interest Rate Curve's Reference Currency is the currency for which your market rates are valid. For example, the Reference Currency for a Prime Rate Yield Curve would be US Dollars. The Reference Currencies drop-down list displays only Active currencies. For more information on Active and Inactive currencies, see the Currency Documentation.
   • Date Based Term Points: This toggle switch is applicable only for Standard Structure Type. If you select Structure Type as Hybrid, the toggle switch is disabled. When you select the Date Based Term Points, and add a Term Point, the Historical Rates Tab allows you to define a Custom Date and Rate for each Term Point. By default, the Date is inserted based on the Term that you define. You can change the Date to a custom Date and define the Rate.
   • Risk-Free: (Optional) This flag is for tagging the Interest Rate Curve as risk-free. That is Edit Table in new and Edit Modes. It is available for Non-Hybrid Curves and Hybrid Curves.
   • Structure Type: This attribute is required for each Yield Curve. Structure Type supports both Standard and Hybrid Yield Curve Definitions. Hybrid Yield Curves are re-expressions of one or more pre-existing Standard Yield Curves. For more information, see Hybrid Term Structure Tab under Interest Rate Code Tabs. After you have saved the Yield Curve, you cannot change the selected Structure Type.