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VC_FTBB_FXPT_CRV - Define Swap Rate Curve Structure

Fill RESBD Structure from EBP Component Structure   CL_GUI_FRONTEND_SERVICES - Frontend Services  
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Define swap rate curve structures using attributes to influence market data selection. Furthermore, you define the term structure of the curve.

In combination with a currency pair and an exchange rate type, a swap rate curve structure describes a concrete swap rate spread curve. In this way, swap rate curve structures can be assigned to currency pairs.

For swap market data to be selected to build a concrete curve, the exchange rate type is also required. During the evaluation, the exchange rate type is taken either from the evaluation type settings or from the settings on the level of the valuation rule.

Create New FX Swap Rate Curve Structures

1. Choose New Entries.
2. Enter a four-digit ID for the swap rate curve structure.
3. Enter a descriptive text for the swap rate curve structure.
4. Set the attribute Maximum Age, which influences the selection of market data (swap rates).
5. Set the Calendar.
6. Set the attribute Extrapolation Method (constant or linear) to define the determination of the FX swap rate after the last grid point of the term structure for which market data has been found.
7. Mark the curve structure and choose the term structure from the tree on the left.
8. Now assign terms to the curve structure. You can set some of the terms as mandatory. The term structure defines which market data is considered when a concrete curve is built.
9. Save your entries.

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