ForwardPrice

  • Currency: String. The associated currency for this curve
  • Curve: Curve object of date, rate pairs specifying forward price at the corresponding excel date

ForwardPriceSample

  • Offset: Integer specifying a calendar day offset
  • Holiday_Calendar: String specifying the name of the calendar to use in the calendar xml file
  • Sampling_Convention: String. Either ForwardPriceSampleDaily or ForwardPriceSampleBullet

ForwardPriceVol

  • Surface: Curve object consisting of (moneyness, expiry, delivery, volatility) quads. Flat extrapolated and linearly interpolated. All Floats.

ReferencePrice

  • Currency: String. The associated currency for this curve.
  • Fixing_Curve: Curve object of date, reference date pairs specifying the delivery date for a particular date. Both dates are in excel format.
  • ForwardPrice: String. The name of associated ForwardPrice factor

ReferenceVol

  • ForwardPriceVol: String. Name of the ForwardPriceVol price factor to use
  • ReferencePrice: String: Name of the ReferencePrice price factor that defines the reference lookup