Yield Curve

YieldCurveMD

Set of interest rates for a single currency at different tenors, used to discount cash flows and price fixed income.

Datasets representing this concept

1 dataset

Dataset	Role	Pure
yield_curve	primary	Pure Model ->

Pure Class

FIBO-grounded class definition for this concept: properties, multiplicities, and source-column annotations. Per-dataset Mapping and Table blocks live on each dataset's Pure Model tab.

<<Lineage.parquetBacked>>
{Lineage.parquetPath = 'out/parquet/yield_curve/**/*.parquet', Lineage.fiboModule = 'MD', Lineage.fiboConcept = 'YieldCurve', Lineage.datasetTitle = 'Yield Curves'}
// Daily zero/par rates by tenor for each currency curve (USD OIS, USD Treasury, EUR OIS, GBP OIS, JPY OIS, CHF OIS).
Class fibo::md::YieldCurve
{
    // AsOfDate: The business date as of which a snapshot was taken (positions, prices, NAV, etc.).
    asOfDate : StrictDate[1];
    // Identifier: A label assigned by an authority that uniquely refers to a thing (entity, instrument, account, etc.) within a given naming scheme.
    curveCode : String[1];
    // ISO4217CurrencyCode: Three-letter code (e.g., USD, EUR, JPY) that uniquely identifies a currency under ISO 4217.
    currencyCode : String[1];
    // Tenor: Time-to-maturity bucket for a rate or instrument (e.g., overnight, 1M, 3M, 6M, 1Y, 10Y).
    tenor : String[1];
    // TenorYears: Tenor expressed numerically in years (e.g., 0.25 for 3M, 10.0 for 10Y).
    tenorYears : Decimal[1];
    // InterestRate: Cost of borrowing or return on lending, expressed as an annualized percentage.
    rate : Decimal[1];
    // Source: Origin of the data (vendor, system, internal calculation), used for lineage and quality assessment.
    source : String[0..1];
}