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    How can the constructed curve parameters like the zero rate / Discount factor/ Market quote / Start /End date etc be generated as output.
    Also can FX Swap points be directly added as market data for Curve constrction.

    Peter Caspers

    There is the curves analytics which will output discount factors for interest rate curves on a predefined grid. This output is however independent of the bootstrap instruments.

    As for the second question the answer is yes, look e.g. into Examples/Input/curveconfig.xml

          <CurveDescription>EUR collateralized in USD discount curve</CurveDescription>
              <Type>FX Forward</Type>

    where fx forward points are used to strip the short end of a curve. The corresponding market data looks like this

    20160205 FXFWD/RATE/EUR/USD/1D 0.75795447
    20160205 FXFWD/RATE/EUR/USD/1M 9.46351358
    20160205 FXFWD/RATE/EUR/USD/1W 1.82722318
    20160205 FXFWD/RATE/EUR/USD/1Y 149.76458056
    20160205 FXFWD/RATE/EUR/USD/2D 0.25668124
    20160205 FXFWD/RATE/EUR/USD/2M 19.62402097
    20160205 FXFWD/RATE/EUR/USD/2W 3.68789339
    20160205 FXFWD/RATE/EUR/USD/2Y 338.73048699

    The points are given with a multiplier of 10000 as can be seen in the conventions file


    Hope that helps.

    Best Regards


    Dear Peter!

    Many thanks for the hint on the fx-forwards, I had exactly the same question!



    Dear All!

    Just one hint concerning ordering of quotes in segments:
    Always place the quotes in order of maturity, otherwise following (rather obscure) error will occur:
    ALERT [2018-Nov-27 10:13:49.429047] (orea\app\oreapp.cpp:213) : Error: yield curve building failed for curve CHF-IN-EUR on date 2018-11-26: invalid date (December 5th, 2018, vs December 28th, 2018)

    It might be a good idea to mention the ordering requiremetn in the Curves: curveconfig.xml section of the userguide.


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