Curve groups file

The curve groups CSV file is used to define a curve group when loading curves into the system. It is used by the curve loader.

A curve group is used to assign a purpose to a coherent set of curves. For example, a group might contain three curves, one for USD discounting, one for the USD Fed Fund index and one for the USD LIBOR 3 month index. Alternatively, the group might contain one curve used for all three purposes.

Format

The curve groups file is a simple CSV-formatted file with the following header row:

Group Name,Curve Type,Reference,Curve Name

The columns may be specified in any order, however this is the recommended order. The meaning of each column is as follows:

Field Description
Group Name The name of the curve group.
Curve Type The type of curve, “Discount” for a discounting curve, or “Forward” for a forward curve.
Reference The reference for which the curve is used, such as the currency or index.
Curve Name The name of the curve.

A discount curve must have a 3 letter ISO currency code as the reference, such as “USD”. A forward curve must have an index as the reference, such as “USD-LIBOR-3M”. See the standard reference data page for Strata’s default index names.

The groups file refers to curve names that are defined in the curve settings file.

Example

This example file specifies a single group, “USD-DSCON-LIBOR3M”, with two curves, “USD-Disc” and “USD-3ML”. The “USD-Disc” curve is used as both a USD discounting curve and as a Fed Fund forward curve. The “USD-3ML” curve is only used as a forward curve for 3-month USD LIBOR.

Group Name,        Curve Type, Reference,    Curve Name
USD-DSCON-LIBOR3M, Discount,   USD,          USD-Disc
USD-DSCON-LIBOR3M, Forward,    USD-FED-FUND, USD-Disc
USD-DSCON-LIBOR3M, Forward,    USD-LIBOR-3M, USD-3ML

Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.