Interest Rate Curve Tabs

Interest Rate Curve Tabs are used to define the Yield Curve and to add, edit, or delete Historical Interest Rate Data. The Interest Rate Curve Tabs are:

• Terms & Attributes
• Historical Rates
• Hybrid Term Structure

For new Yield Curves, you must begin with the Terms & Attributes Tab. After you have selected the term structure and attributes for a Yield Curve, you cannot edit them. After assigning the attributes, navigate to the Terms Tab to define a term structure for your Yield Curve, for example, an overnight rate, a one-month rate, a three-month rate, and so on. Click Apply after defining the term structure and attributes to the Interest Rate Curve.

Note:

You must specify an Interest Rate Code and Name in the Interest Rate Curve Details Window before navigating to the Terms & Attributes Tab.

The first time you navigate to the Terms & Attributes Tab, an initial 1-month term point is provided, but even if this is the only term point you want for the curve, you must click Apply to finish term structure specification. In future revisions to the Curve's Definition, navigate directly to the Historical Rates Tab, but if you modify the term structure, you must always click Apply on the Terms & Attributes Tab before navigating to the Historical Rates Tab.

The Historical Rates Tab is used to input historical interest rate data. This Tab is used for maintaining the Interest Rates Database. To navigate to the Historical Rates Tab, either click Apply on the Terms & Attributes Tab or select the Historical Rates Tab if you have already defined your term structure.

Note:

You must specify the following before navigating to the Historical Rates Tab:

• An Interest Rate Code, Name, and Reference Currency in the Interest Rate Code Details Window.
• A term structure in the Terms & Attributes Tab.