Curve functions
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Curve 1Curve 2Curve 3
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DepositsDepositsDeposits
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RateTime Unit
Tenor Number
Fixing DaysCalendarDay ConventionDay CounterRateTime Unit
Tenor Number
Fixing DaysCalendar
Day Convention
Day CounterRateTime Unit
Tenor Number
Fixing DaysCalendarDay ConventionDay Counter
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0,037200Months10TARGETModifiedFollowingActual3600,009600Months33TARGET
ModifiedFollowing
Actual365Fixed0,000400Days10TARGETFollowingActual360
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0,038200Weeks10TARGETModifiedFollowingActual3600,014500Months63TARGET
ModifiedFollowing
Actual365Fixed0,000400Days11TARGETFollowingActual360
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0,038200Years10TARGETModifiedFollowingActual3600,019400Years13TARGET
ModifiedFollowing
Actual365Fixed0,000400Days12TARGETFollowingActual360
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0,034800Months90TARGETModifiedFollowingActual360
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0,035300Months60TARGETModifiedFollowingActual360
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0,036300Months30TARGETModifiedFollowingActual360FRAsFRAs
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Rate
Months to start
Months to end
Fixing DaysCalendar
Day Convention
Day CounterRate
Months to start
Months to end
Fixing DaysCalendarDay ConventionDay Counter
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FRAs
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RateMonths to start
Months to end
Fixing DaysCalendarDay ConventionDay CounterFuturesFutures
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Rate
Future start date
Future months
CalendarDay ConventionDay CounterRate
Future start date
Future months
CalendarDay ConventionDay Counter
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Futures
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RateFuture start date
Future months
CalendarDay ConventionDay CounterSwapsSwaps
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RateTime Unit
Tenor Number
Calendar
Fixed Leg Frequency
Fixed Leg Convention
Fixed Leg Day Counter
Floating Leg Index
RateTime Unit
Tenor Number
Calendar
Fixed Leg Frequency
Fixed Leg Convention
Fixed Leg Day Counter
Floating Leg Index
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SwapsBondsBonds
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RateTime Unit
Tenor Number
Calendar
Fixed Leg Frequency
Fixed Leg Convention
Fixed Leg Day Counter
Floating Leg Index
RateFixing DaysFace AmountCoupon RateDay Counter
Day Convention
RedemptionIssue Date
Schedule Calendar
Schedule Effective Date
Schedule Termination Date
Schedule Period
Schedule Convention
Schedule Termination
Date Convention
Generation Rule
End of monthRateFixing DaysFace AmountCoupon RateDay CounterDay ConventionRedemptionIssue Date
Schedule Calendar
Schedule Effective Date
Schedule Termination Date
Schedule Period
Schedule Convention
Schedule Termination
Date Convention
Generation Rule
End of month
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0,037125Years2TARGETAnnualUnadjustedThirty360Euribor6M100,39062521000,02375ActualActualBondUnadjusted1002005/03/15
UnitedStatesGovernmentBond
2005/03/152010/08/31SemiannualUnadjustedUnadjustedBackwardFALSE
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0,039800Years3TARGETAnnualUnadjustedThirty360Euribor6M106,2187521000,04625ActualActualBondUnadjusted1002005/06/15
UnitedStatesGovernmentBond
2005/06/152011/08/31SemiannualUnadjustedUnadjustedBackwardFALSEOIS
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0,044300Years5TARGETAnnualUnadjustedThirty360Euribor6M100,5937521000,03125ActualActualBondUnadjusted1002006/06/30
UnitedStatesGovernmentBond
2006/06/302013/08/30SemiannualUnadjustedUnadjustedBackwardFALSERateTime Unit
Tenor Number
Fixing DaysOvernight Index
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0,051650Years10TARGETAnnualUnadjustedThirty360Euribor6M101,687521000,04ActualActualBondUnadjusted1002002/11/15
UnitedStatesGovernmentBond
2002/11/152018/08/17SemiannualUnadjustedUnadjustedBackwardFALSE0,000700Weeks12Eonia
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0,055175Years15TARGETAnnualUnadjustedThirty360Euribor6M102,14062521000,045ActualActualBondUnadjusted1001987/05/15
UnitedStatesGovernmentBond
1987/05/152038/05/14SemiannualUnadjustedUnadjustedBackwardFALSE0,000690Weeks22Eonia
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0,000780Weeks32Eonia
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Bonds0,000740Months12Eonia
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RateFixing DaysFace AmountCoupon RateDay CounterDay ConventionRedemptionIssue DateSchedule Calendar
Schedule Effective Date
Schedule Termination Date
Schedule Period
Schedule Convention
Schedule Termination
Date Convention
Generation Rule
End of monthCurve configuration0,000020Months152Eonia
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100,39062521000,02375ActualActualBondUnadjusted1002005/03/15
UnitedStatesGovernmentBond
2005/03/152010/08/31SemiannualUnadjustedUnadjustedBackwardFALSECompoundingCompounded0,000080Months182Eonia
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106,2187521000,04625ActualActualBondUnadjusted1002005/06/15
UnitedStatesGovernmentBond
2005/06/152011/08/31SemiannualUnadjustedUnadjustedBackwardFALSEDay CounterActual3600,000210Months212Eonia
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100,5937521000,03125ActualActualBondUnadjusted1002006/06/30
UnitedStatesGovernmentBond
2006/06/302013/08/30SemiannualUnadjustedUnadjustedBackwardFALSEInterpolatorLogLinear0,000360Years22Eonia
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101,687521000,04ActualActualBondUnadjusted1002002/11/15
UnitedStatesGovernmentBond
2002/11/152018/08/17SemiannualUnadjustedUnadjustedBackwardFALSE
Fwd Curve Period Time Unit
Months0,001270Years32Eonia
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102,14062521000,045ActualActualBondUnadjusted1001987/05/15
UnitedStatesGovernmentBond
1987/05/152038/05/14SemiannualUnadjustedUnadjustedBackwardFALSE
Fwd Curve Period Number
30,017640Years152Eonia
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As Of Date2006/01/05
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Curve configurationDated OIS
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CompoundingCompoundedRateStart DateEnd Date
Overnight Index
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Day CounterActual3600,0004602013-01-162013-02-13Eonia
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InterpolatorLogCubic0,0001602013-02-132013-03-13Eonia
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Fwd Curve Period Time Unit
Months-0,0000702013-03-132013-04-10Eonia
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Fwd Curve Period Number
3-0,0001302013-04-102013-05-08Eonia
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As Of Date2006/01/05-0,0001402013-05-082013-06-12Eonia
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Bootstrap TraitDiscount
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Curve configurationFwd Curve
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CompoundingSimple
Fwd Curve Period Time Unit
DaysStart date2013/02/01
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Day CounterActual360
Fwd Curve Period Number
1End Date2013/03/01
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InterpolatorLogLinear
FwdCurveCalendar
TARGET
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Bootstrap TraitDiscount
FwdDayCounter
Actual360
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As Of Date2012/12/11
FwdCompounding
Simple
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Pricing curves
Curve functions