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The following table defines each of the parameters used in the zero curve function.
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Parameter |
Definition |
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Accrual Basis |
The accrual basis for the swap rates. |
Business Day Convention |
Used to determine the effective and maturity dates for the swap periods. |
Cash Curve |
The cash rates table consisting of five columns; Effective Date, Maturity Date, Cash Rate, Accrual Basis, and an In Use flag (true or false). |
Frequency |
The compounding frequency for the swap rates. |
Holiday Schedule |
Schedule of non-business days (excluding weekends). |
Settlement Offset |
The number of days after the valuation date that the swap rates are settled. |
Swap Curve |
The swap rates table consisting of four columns; Effective Date, Maturity Date, Swap Rate, and an In Use flag (true or false). |
Value Date |
Date on which the zero curve is constructed. |
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