Create a curve to forecast floating interest rates based on a discount curve.
Description
Create a curve to forecast floating interest rates based on a discount curve.
Example Sheet
GeneralSwap.xlsx
Arguments
- objectName The name of the object to be created.
- floatingRateIndex The floating rate that this curve will be used to forecast.(FloatingIndex)
- discountCurve The name of the discount curve that will be used to obtain the forward rates.
- fixingCurve Optional: The name of the fixing curve for providing floating rates at dates before the anchor date of the discount curve. If it is left out then the first floating rate implied by the discount curve will be used for all historical fixes.