Bond Yield Curves Permissible Values

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Curve Construction

Bond Yield Curve Attributes Permissible Values

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

Bond Yield Curve Node Attributes Permissible Values

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

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