Overview
To use our valuation offering in Xplain, you will need to create a curve configuration, which will contain the mapping that links a curve group to preferred market data providers.
Xplain offers two predefined curve configurations - ‘XPLAIN Default’ and ‘LONDON’ - which are available as off-the-shelf to use when performing your valuations. For more details, please refer to our sandbox environment page.
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A[/"IR and Inflation<br>Curves"/]
B[/"FX Rates"/]
C[/"IR Volatilities"/]
D[/"FX Volatilities"/]
E[/"Credit Curves"/]
F[/"Bond Yield Curves"/]
G[("Curve Group")]
H[/"Curve Configuration"/]
I[("Market Data")]
J[/"Calibrate"/]
K(["Calibrated Curves"])
L["Market Data Providers"]
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B --> G
C --> G
D --> G
E --> G
F --> G
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I --> J
direction LR
H --> J
J --> K
H <--> |MDK|L
L <--> I
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Bespoke Curve Configurations
If you need more flexibility or specific customisations, the curves section in this guide will walk you through the process of defining your own curve group and curve configuration from scratch.
Calibrating a Curve with Market Data
Each FX rate, curve node or volatility surface point is assigned to a unique ‘market data key’ (MDK), which acts as a mapper to the corresponding ticker(s) from your chosen market data provider(s). When you calibrate a curve, Xplain used the market data associated to the mapped tickers to bootstrap and generate the curves’ discounting and projection rates.
For consistency, the examples throughout this guide will use the structure of the existing ‘LONDON’ curve configuration.
In this section, you will learn how to:
- define a curve group with curves and volatility surfaces
- define a curve configuration that will define the mapping to market data providers on an instrument type basis for a given curve group
- calibrate your curves with market data
