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:

Column name 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 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

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