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.
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:
|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 indices page for Strata’s default index names.
The groups file refers to curve names that are defined in the curve settings file.
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.