Yield
The data used in the specification of a Sovereign Yield Curve must be Yields.
In order to facilitate the creation of yield curves it was necessary to use
Yield components in order to be able to convert from one type of yield to another.
A Yield on a particular Currency is specified in terms of:
- a Compounding Frequency;
- a Day Count Basis;
- a Term for the yield; and
- a Value for this yield.
The Yield component handles the following types for Compounding Frequency and
Day Count Basis:
Compounding Frequency:
- SIMPLE
- ANNUAL
- SEMI-ANNUAL
- QUARTERLY
- MONTHLY
- DAILY
- CONTINUOUS
- ZERO-COUPON
- DISCOUNT
Day Count Basis:
- 30/360
- 30E/360
- ACTUAL/360
- ACTUAL/365
- ACTUAL/365C
- ACTUAL/ACTUAL