Curve Calibration
Curve Calibration Parameters Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Market Data Group | The market data group that contains the raw market data | See Market Data |
| Market Data Source |
Data type (raw, preliminary cleansed or overlay) + Data provider (primary or secondary) |
RAW | PRELIMINARY | OVERLAY PRIMARY | SECONDARY See using MD exception management results |
| Stripping Type |
Dual stripping (for the projection and discount curves) or Single curve stripping See here. | OIS (DUAL) | SINGLE |
| Discount Ccy |
Applicable single currency for discounting purposes or If Discount Ccy = 'Local Ccy', the discount currency will be a function of the trade type and user parameterisation (see here) |
Any permissible discount currency Local Ccy |
| Curve Date | The market data's historical curve date (default = system date) | YYYY-MM-DD (ISO 8601) |
| Valuation Date | The valuation date (default = Curve Date) | YYYY-MM-DD (ISO 8601) |
| Triangulation Ccy | The triangulation currency used first when no direct base vs counter curve can be found for foreign cashflow discounting | Any permissible discount currency |
| Bid/Mid/Ask | Market data side for projection and discounting curves, FX rates, ATM swaption and FX volatilities, and Swaption and FX volatility skews | Bid | Mid | Ask |
Discount Currency Permissible Values
| Discount Currency | ||||||||
|---|---|---|---|---|---|---|---|---|
| USD | EUR | GBP | AUD | CAD | CHF | JPY | NZD | |
