Curve Underlying Overview
Underlying instruments can be used to build curves.
You can set up underlying instruments before creating a curve using Configuration > Market Data > Curve Underlyings from the Calypso Navigator, or while you are creating a curve. When you save an underlying instrument, the system automatically creates a quote name for that instrument so that you can set quotes.
Using Underlying Instruments
To use underlying instruments for building curves, check “Generate from instruments” in the curve window definition. The curve window then displays the Underlying panel where you can select the underlying instruments, and the Quotes panel where you can set / load quotes for the underlying instruments. This is described in details for each type of curve.
Tenors for Underlying Instruments
Tenors for underlying instruments can be added to the "tenor" domain using Configuration > System > Domain Values from the Calypso Navigator.
Contents
Basis Two Swap - Curve Underlying
Bond Future - Curve Underlying
Cash (Money Market) - Curve Underlying
Commodity Forward - Curve Underlying
Commodity Forward Points - Curve Underlying
Commodity Spot - Curve Underlying
Commodity Swap - Curve Underlying
Equity Index - Curve Underlying
Exchange Traded Option (ETO) - Curve Underlying
Forward Rate Agreement (FRA) - Curve Underlying
MM Future - Structured Flows Future - Curve Underlying
Future Commodity - Curve Underlying
Future Equity Index - Curve Underlying
FX Forward Fixed - Curve Underlying
FX Forward Tenor and Contango - Curve Underlying
Generic CDS - Curve Underlying
Inflation Spread (Instrument Spread) - Curve Underlying
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