The zero-coupon yield curve is a collection of zero coupon yields, discount factors, and corresponding maturity dates. The curve consists of three columns, as specified below:

Input

Requirement

Description

Date

compulsory

Maturity date for the corresponding zero rate or discount factor.

Rate

optional -
see below

Spot rates expressed on an actual/365 basis

Discount Factor

optional -
see below

If supplied, the discount factor is assumed to be computed according to the following formula:

DF_i =discount factor for the i'th maturity date
ZR_i = zero rate for the i'th maturity date
d = number of days between valuation and maturity dates

Although Rate and Discount Factor are both optional, at least one of the two inputs must be entered. Both inputs may be entered.

If the Value Date is a date in the Zero Curve then the Rate parameter becomes compulsory.

Effectively there is no limit to the number of rows in a Zero Curve however an extreme number of rows (e.g. over 30,000) may generate an error.

See Also

Entering Curve Objects