Create a forecast curve for a Libor type index.

Description

Create a forecast curve for a Libor type index.

Example Sheet

Caplet.xlsx

Arguments

  • objectName The name that this object will be assigned on the map. Should be unique.
  • anchorDate (Date)The anchor date of the curve.
  • dates (Date[])The dates at which the rates apply.
  • rates (Double[])The rates.
  • floatRateIndex *(FloatRateIndex)The index that this curve forecasts.(Default value = ZAR.JIBAR.3M)