EventCurve

An EventCurve is a curve that is dynamically built from events.

Introduction

An EventCurve is a very flexible and dynamic way of expressing point-in-time based future values, both real and forecasted from events that are stored in your private database, the common database and the public database.

Construction

To construct a new EventCurve, you use the EventCurve function as shown in the syntax below:

curve = EventCurve(event, calendar, property, tenor)

An example of constructing a new EventCurve:

curve = EventCurve("AAA:EVENTS", "#REOMHENG", "price", "absolute")

Properties

An EventCurve has the following properties:

Name	Description	Type
event	The name of the eventlist that this Curve uses (in the form objectId:eventListId)	String
property	The name of the property in the event that this Curve uses as the value	String
tenor	The name of the property in the event that this Curve uses as the tenor/maturity code	String
calendar	The expiry calendar for this Curve	String
holidayCalendar	The holiday calendar for this Curve - this is used to determine what dates this curve should be published on	String
filter	Optional filter used to filter the events used to build this Curve	String
source	Optional source of the events used to build this Curve. Can be private, common or public, defaults to private	String
valueTransformation	Optional value transformation expression to change all values in the curve, e.g. 'value * 1.1'	String
currency	An optional currency code	String
units	An optional units code	String
properties	Any other properties you want to add onto the curve	Object
precision	The precision configuration for this curve	Precision
include	Additional properties from an event to add as columns in the curve contracts	String or Array

Examples

Creating and saving an event curve

EC = EventCurve("AAA:EVENTS", "#REOMHENG", "price", "relative")
EC.precision.scale = 8
AAA = Object()
AAA.EC = EC
save AAA

Using value transformation

EC = EventCurve("AAA:EVENTS", "#REOMHENG", "price", "relative")
EC.valueTransformation = "value * 1.1"

Additional properties

You can include additional columns in the curve from event properties, using the include property, e.g.

EC = EventCurve("AAA:EVENTS", "#REOMHENG", "price", "relative")
EC.include = "vendorId"

To include multiple additional columns use an array, e.g.

EC = EventCurve("AAA:EVENTS", "#REOMHENG", "price", "relative")
EC.include = ["vendorId", "internalId"]

Calendars

When dynamically retrieving the historic timeseries for absolute or relative tenors, the calendar for that timeseries is determined using the following logic:

• If a property exists with the name of the tenor, e.g. 2025M01 and the value of that property is a calendar code, that will be used.
• If a holidayCalendar is set on the event curve, that will be used.
• The underlying trading calendar on the expiry calendar will be used.

info

Functionality change since January 2025 (Jan25 release)

Previously the holidayCalendar property was used if present, otherwise the SPARSE calendar would be used

See Also

• Curve