Curve settings file

The curve settings CSV file is used to control curve-wide settings when loading curves into the system. It is used by the curve loader and curve calibration loader.

Format

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

Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator

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

Field Description
Curve Name The name of the curve.
Value Type The type of value in the curve, “Zero” for zero rates or “DF” for discount factors
Day Count The day count to use for dates in the curve.
Interpolator The name of the interpolator, used when querying a value between two nodes on the curve.
Left Extrapolator The name of the left extrapolator, used when querying before the earliest point on the curve.
Right Extrapolator The name of the right extrapolator, used when querying after the latest point on the curve.

See DayCounts for valid day count names. See CurveInterpolators for valid interpolator names. See CurveExtrapolators for valid extrapolator names.

These settings are used when loading individual curve nodes via the curve loader or curve calibration loader.

Example

This example file specifies the settings for two curves.

Curve Name, Value Type, Day Count, Interpolator, Left Extrapolator, Right Extrapolator
USD-Disc,   Zero,       Act/365F,  Linear,       Flat,              Flat
USD-3ML,    Zero,       Act/365F,  Linear,       Flat,              Flat

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