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Curve Functions

This document provides a reference for all built-in curve functions available in OpenDataDSL.

asDays(contract)​

Category: Curve

Description: Splits a Contract into day contracts

Parameters:

  • contract (Contract) - The input contract to split into days

Returns: Contracts

asHours(contract, timezone)​

Category: Curve

Description: Splits a Contract into hourly contracts

Parameters:

  • contract (Contract) - The input contract to split into hours
  • timezone (Contract) - The timezone to use

Returns: Contracts

asHours(contract)​

Category: Curve

Description: Splits a Contract into hourly contracts

Parameters:

  • contract (Contract) - The input contract to split into hours

Returns: Contracts

asMonths(contract)​

Category: Curve

Description: Splits a Contract into month contracts - usually used with Quarters, Seasons or Cals

Parameters:

  • contract (Contract) - The input contract to split into months

Returns: Contracts

asStrips(input)​

Category: Curve

Description: Creates an arbitrage free curve comprised of calendar year strips

Parameters:

  • input (Curve) - The input curve to create the strips from

Returns: Curve

Works with: curve

bootstrapCurve(input)​

Category: Curve

Description: Creates an arbitrage free monthly curve from the input curve

Parameters:

  • input (Curve) - The input curve to bootstrap

Returns: Curve

Works with: curve

combine(base, other, replace)​

Category: Curve

Description: Combines 2 curves into 1 - uses the date and expiry calendar from the base

Parameters:

  • base (Curve) - The base curve
  • other (Curve) - The curve to combine the base with
  • replace (Boolean) - If true, matching tenors from the base are overwritten; if false, only new tenors in other are added to the base

Returns: Curve

Works with: curve

extendCurve(input, years)​

Category: Curve Interpolation

Description: Extends a curve by taking the last period and extending out the required number of years

Parameters:

  • input (Curve) - The input curve to extend
  • years (Number) - The number of years to extend

Returns: Curve

forwardFillCurve(input)​

Category: Curve Interpolation

Description: Fills any gaps by forward filling and missing periods

Parameters:

  • input (Curve) - The input curve to fill

Returns: Curve

normaliseCurve(input)​

Category: Curve

Description: Normalises a curve such that all the inputs average to 1

Parameters:

  • input (Curve) - The input curve to normalise

Returns: Curve

Works with: curve

priority(curves)​

Category: Curve

Description: Adds tenors from a list of curves in order of priority

Parameters:

  • curves (List of Curves) - A list of curves in order of priority

Returns: Curve

Works with: curve

shape(input)​

Category: Curve

Description: Simple shaping algorithm used to shape a monthly curve

Parameters:

  • input (Curve) - The input curve to shape

Returns: Curve

Works with: curve