Construct a basic yield curve


#1

Hi,

I am new to OpenGamma and trying to calculate an FX option price. I am looking at TestsDataSetsForex.java and trying to build a yield curve. May I know how to construct a yield curve with bloomberg format?

i.e.
USD
1W 0.264
2W 0.264
3W 0.264
1M 0.264
2M 0.265
3M 0.274

Thanks so much for you help!

Cheers,
Tomy


#2

Hi Tomy,
Are you trying to run the engine to build a curve, or do you just want to use the analytics library?
Elaine


#3

HI Elaine,

Would like to build a curve and do some interpolation calculation on it.

Thanks!
Tomy