The UF Curve displays the UF index1. This data is used by the system to price the UF Swap, which is an interest rate swap where one of the legs is based on a fixed rate set by reference to an inflation-linked currency known as UF.
The UF Curve page is accessed by:
Clicking the Curves tab > UF Curve tab on the left-hand menu.
From the Trader, Structurer or Market Data tabs > Curves button > UF Curve.
From the Open button > Curves > UF Curve.
For each swap rate tenor displayed you see the following data which by default is supplied by SD:
Date
This is the swap rate tenor’s maturity date.
Interest rate %
Discount factor
By default, the UF Curve page opens with the data for the current trade date and the market data cut-off time set in the pricing page from which it was opened.
The following topics are covered:
Fields & Buttons in the UF Curve Page
What Can Be Done in the UF Curve Page
Understanding the Colors Used for Rates in a Yield Curve