Curve settings file
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:
|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.|
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.