Curve Build

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In order to perform valuations in Xplain, you first need to ensure you have curves ready to be calibrated. You can use the pre-configured Xplain Default Curve or create your own.

This page will take you through the steps to build a curve group independently.

1. Creating a Curve Group

Under Curves/CURVE GROUPS, at the curve group list level, you can create a curve group (e.g., NEW CURVE GROUP) by clicking on ADD NEW (or edit an existing one by double-clicking on the line item).

For this example, you will import setup data to replicate the LONDON curve configuration and LONDONFICC company setup. You can download the _CSV data files here.

Creating a Curve Group
Curves/CURVE GROUPS

After clicking on ADD NEW and setting Name = NEW CURVE GROUP

After clicking on SAVE

Once you have created the curve group, it can now be defined by a list of:

1. IR + INFLATION curves (IR_INDEX, TENOR_BASIS, XCCY)
2. FX RATES
3. IR VOLATILITY surfaces
4. FX VOLATILITY surfaces
5. CREDIT curves
6. BOND YIELD curves

For more details, please refer to the relevant section.

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Related Docs

• IR and Inflation Curve Construction
• CSA Definitions
• CTD Curves
• TRS Accrual Calculations - Run and Results