Curve is a relatively general term  to describe a set of time series data, for example prices, interest rates, foreign exchange rates (FX), volatilities etc.


In general curve is used as a term to describe time series data that is used to value trades, that is to calculate the unrealized p&l of a trade, or set of trades.

Curve data is usually derived from published data

Curve data is typically published each day - so a curve consists of a set of time series data for each publication date

Publication dates are ususally daily

Point dates may be daily, hourly, monthly, quarter hourly

Because of the separate publication date and point date dimensions there may be a huge amount of data over time for a single curve

A forward curve is usually a set of future price points used to calculate the future value of the physical side of Forwards, Futures, Spreads and Swaps

Curves typically have dimensionality of:





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