Interest Rates — parameters
Below is the complete list of the functions’ parameters.
| Comp | |
|---|
| Description: | The compounding basis of the interest rates. (Annual, SemiAnnual, Quarterly, Simple, Continuous) |
| CompInput | |
|---|
| Description: | The compounding basis of the input interest rates. (Annual, SemiAnnual, Quarterly, Simple, Continuous) |
| CompOutput | |
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| Description: | The compounding basis of the output interest rates. (Annual, SemiAnnual, Quarterly, Simple, Continuous) |
| CPICurveDates | |
|---|
| Description: | The array of dates in the expected CPI curve. The first date has to be equal to the value date. |
| CPICurveRates | |
|---|
| Description: | The array of rates in the expected CPI curve. The first rate has to be equal to the last published CPI before the value date. |
| CurveDates | |
|---|
| Description: | The array of dates in the interest rate curve. |
| CurveRates | |
|---|
| Description: | The array of rates in the interest rate curve. |
| Days | |
|---|
| Description: | The time basis of the interest rates. (act/act, act/360, act/365, 30/360, 30E/360, 30U/360, 30I/360, 30G/360, NL-365) |
| DaysInput | |
|---|
| Description: | TThe time basis of the input interest rates. (act/act, act/360, act/365, 30/360, 30E/360, 30U/360, 30I/360, 30G/360, NL-365) |
| DaysOutput | |
|---|
| Description: | TThe time basis of the output interest rates. (act/act, act/360, act/365, 30/360, 30E/360, 30U/360, 30I/360, 30G/360, NL-365) |
| DiscountFactor | |
|---|
| Description: | The discount factor. |
| InterestRate | |
|---|
| Description: | The annual interest rate. |
| InterestRate1 | |
|---|
| Description: | The annual interest rate, from t0 to t1. |
| InterestRate2 | |
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| Description: | The annual interest rate, from t0 to t2. |
| Interp | |
|---|
| Description: | The interpolation method (Linear, LogLinear, CubicSpline, Exponential) |
| LagT | |
|---|
| Description: | The difference in months between the month of the target date and the last month included in the latest CPI. If the target date is March 18, and the last CPIreflects inflation including February, this argument equals 1. However, if the target date is March 5 and the last CPI reflects inflation including January, this argument equals 2. |
| LagV | |
|---|
| Description: | The difference in months between the month of the value date and the last month included in the latest CPI. If the value date is March 18, and the last CPIreflects inflation including February, this argument equals 1. However, if the value date is March 5 and the last CPI reflects inflation including January, this argument equals 2. |
| OT | |
|---|
| Description: | Output type (Days, Years) |
| Season | |
|---|
| Description: | An array of 12 numbers, each of which represents the difference between the average monthly inflation rate and the inflation rate in a specific month. |
| T | |
|---|
| Description: | The end date of the interest rate period. |
| T0 (in all functions except those calculating the forward rate) | |
|---|
| Description: | The start date of the interest rate period. |
| T0 (in functions calculating the forward rate) | |
|---|
| Description: | The spot date. |
| T1 | |
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| Description: | The start date of the forward period. |
| T2 | |
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| Description: | The end date of the forward period. |
| TDate | |
|---|
| Description: | The target date for the interpolation. |
