nY n Years from the spot date. BDC does apply to years. xVy near date is x months from cash spot date, far date is y months from cash spot date. Would normally be used to describe FRA maturity, but will work with all instruments except Futures. mmmyy or all describe the mmmyyyy futures delivery or month and mm/yy or year.Refer to mm/yyyy or function fy or Futures/DeliveryDate 01/mm/yyyy for more details. CouponFreq is only required for instrument type Monthly Quarterly Semi-Annual Annual. Most abbreviations of the above can be translated. RateOrPrice is the interest rate, where 1 = 100% and .05 = 5%, or a futures price, such as 95.00 or an FX forward price in points, such as -130.5 examples: Instruments Cash o/n 5.45% Cash t/n 5.45% Cash 1w 5.56% Cash 6m 5.56% Fra 6v9 5.58% Fra 9v12 5.60% Swap 2y Semi 5.66% Swap 3y Semi 5.72% Swap 5y Semi 5.80%
nY n Years from the spot date. BDC does apply to years. xVy near date is x months from cash spot date, far date is y months from cash spot date. Would normally be used to describe FRA maturity, but will work with all instruments except Futures. mmmyy or mmmyyyy or mm/yy or mm/yyyy or fy or 01/mm/yyyy all describe the futures delivery month and year.Refer to function Futures/DeliveryDate for more details. CouponFreq is only required for instrument type Monthly Quarterly Semi-Annual Annual. Most abbreviations of the above can be translated. RateOrPrice is the interest rate, where 1 = 100% and .05 = 5%, or a futures price, such as 95.00 or an FX forward price in points, such as -130.5 Instruments examples: Cash o/n 5.45% Cash t/n 5.45% Cash 1w 5.56% Cash 6m 5.56% Fra 6v9 5.58% Fra 9v12 5.60% Swap 2y Semi 5.66% Swap 3y Semi 5.72% Swap 5y Semi 5.80%
iLib%20BuildCurve%20function.docx