Curves & Reference Data
Curves are the market environment your products are valued against. In Quantra you build them once, name them, and reference them by name from any product. The Curves menu holds four related screens: yield curves, curve sets, credit curves, and indices.
Yield curves
A yield curve is bootstrapped from a strip of market instruments — deposits, FRAs/futures, and swaps or OIS —
into a term structure the engine can discount and forward off. Open Curves → Yield Curves to
see your curves; each card shows its currency, the bootstrap trait (e.g. Discount), the instrument
count and mix, the interpolation method (e.g. LogLinear), and its reference date.
Building a curve
Click New Yield Curve and specify:
- Identity — a name/id and currency.
- Conventions — the day counter, the interpolation method, and the bootstrap trait (what the curve solves for, e.g. discount factors).
- Instruments — the helpers that pin the curve: deposits at the short end, then swaps or OIS further out. Each helper carries its own tenor, rate, and conventions.
Rates can be entered directly (inline values, frozen at the reference date) or referenced from the Quote Book by a series id — in which case the value is resolved server-side from the market-data catalog as of your As-Of date. The bundle includes both kinds so you can see the difference.
Use Import / Export All to move curves in and out as files for backup or sharing.
Curve sets
A curve set bundles several standalone curves into one named pricing environment — for example an OIS discount curve plus an IBOR forward curve for a proper dual-curve framework, optionally with an inflation curve too. Products can reference the whole set at once instead of wiring up each curve individually.
Open Curves → Curve Sets and click New Curve Set. Give the set a name and currency, then add references to existing curves, tagging each with its role (discount, forward, inflation). When you later price a product, you can select this set and every leg draws from the right curve automatically.
Indices
An index defines a floating benchmark — an IBOR (e.g. EURIBOR 1M/3M/6M), an overnight rate (SOFR, ESTR, SONIA), or an inflation index (HICP). Floating-leg products and curve helpers reference indices by name, so defining them once keeps every trade consistent.
Open Curves → Indices. Each entry shows its type badge (IBOR / Overnight / Inflation) plus its tenor, calendar, and day counter. Click New Index to add your own. Indices you create are saved on the server (not just this browser); use Import / Export to back them up or move them.
Index fixings. Seasoned floating trades whose coupons have already started need past fixings for the index. The bundle's demo data covers the common cases; historical fixings flow through the same market-data path as other quotes.
Credit curves
Credit curves carry the hazard-rate / spread term structure used to price CDS. Open Curves → Credit Curves; each shows its currency, seniority, recovery assumption, and its spread points. Like yield curves, the spread points can be entered inline or referenced from the Quote Book.
Click New Credit Curve to build one: set the id, currency, seniority, and recovery rate, then add the spread points by tenor.
Volatility surfaces live under the Volatilities menu (the vol workbench), not under Curves. Swaptions, CMS legs, and equity options draw on them the same way products draw on curves — build the surface once, reference it by name.