Curve

Tenors

Rates

(Optional) The interpolation function of the curve. Can be populated via the 'CalcInterpPoints' method

interp_function


Creates a Curve Object containing pairs of Tenors with relevant rates and the interpolation function.
Also, methods for populating the object via a .csv file and the generation of the interpolation function via cubic splines are included.


Curve-class

Calculates a number of valuation adjustments including CVA, DVA,
FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For
the KVA calculation three regulatory frameworks are supported: CEM, SA-CCR and
IMM. The probability of default is implied through the credit spreads curve.
Currently, only IRSwaps are supported.

Curve-class: Curve Class

Description

Arguments

Value