Module eur
Expand description
EUR default curve recipe: the ESTR sheet’s topology.
Functions§
- recipe 🔒
- EUR: a 1D ESTR deposit, the ECB policy path, the 3M ESTR futures strip and the ESTR OIS strip — which also carries the IMM-dated forward windows a sheet quotes — on one self-discounting curve; ESTR telescopes, and 3M EURIBOR projects off its own IRS strip.