Bond Yield

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Once you have created a curve group, you can add bond yield curves to it.

On this page, we will discuss how to:

Create (or edit when existing) a bond yield curve
Add curve nodes

Bond Yield Curve Construction

Permissible values for bond yield curve names and associated nodes can be found on the Bond Yield Curves Permissible Values page.

Part of our ‘NEW CURVE GROUP’ example that replicates the ‘LONDON’ curve group, this page will guide you through the process of defining a curve using two examples: manually defining the ‘UKGT curve’ bond yield curve with a 6^th March 2023 maturity, or importing all the data. You can download the example .CSV data import files here.

You can also add other types of curves and volatility surfaces to the curve group. Once all required items have been added, you can move on to curve configuration.

1. Creating a Bond Yield Curve

Under Curves/Curve Groups, at the curve group level, under Bond Yield, you can create a bond yield curve either manually or by importing the definition data.

Case 1: Manually Creating a Bond Yield Curve

To manually create a curve, click on Add New (or edit an existing one by double-clicking on the line item).

Alt for image — Creating a Bond Yield Curve
Curves/Curve Groups/NEW CURVE GROUP/Bond Yield

Case 2: Importing Bond Yield Curves

To import a curve (or a list of curves), click on and select the relevant curve list definition .CSV import file.

You can download the import file template here .

A description of a curve’s attributes and corresponding permissible values are set out in the table below.

Field Name	Description	Permissible Values
Name	A list of curve names whose conventions are defined in Xplain	UKGT \| UST \|EUGT \| FRGT \| DEGT \| JPGT \| AUGT
Interpolator	Interpolation methodology	e.g. Linear See list of interpolators
Extrapolator Left/ Right	Extrapolation methodologies	e.g. Flat See list of extrapolators

2. Adding Bond Yield Curve Nodes

Under Curves/Curve Groups, at the curve group level (or also globally at the curve list level when importing), under Bond Yield, you can create bond yield curve nodes either manually or by importing the definition data.

Case 1: Manually Creating a Bond Yield Curve Node

To manually create a curve node, click on Edit, then on Add New (or edit an existing one by double-clicking on the line item).

Case 2: Importing Bond Yield Curve Nodes

To import a node (or a list of nodes), click on and select the relevant curve node list definition .CSV import file.

You can download the import file template here .

A description of a bond yield curve node’s attributes and corresponding permissible values are set out in the table below.

Field Name	Description	Permissible Values
CUSIP	The CUSIP of the reference bond	Free text
Maturity	The maturity of the reference bond	YYYY-MM-DD (ISO 8601)
Bond Coupon	The coupon of the reference bond (optional)	Numeric

Once all required curves have been added, you can move on to Curve Configuration

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