← Portal ↑ Level 2 — Yield Curves ☰ 5.0 Load and Parse

Level 3 — Yield Curves 3.1 Load and parse source data

prices, yields quote file date bid and ask quotes daily Ref CPI bond trading days GSW parameters settlement dates yields, prices, SA factors → 3.2 yields, prices, GSW parameters → 3.4 bid and ask quotes → 3.6 source dates → 3.7 FedInvest prices Market quotes Ref CPI NSA and SA Bond holidays GSW curve parameters 3.1.1 Parse FedInvest prices 3.1.2 Parse market quotes 3.1.3 Parse Ref CPI and SA factors 3.1.4 Parse bond holidays 3.1.5 Parse GSW parameters 3.1.6 Determine settlement dates 3.1.7 Calculate the TIPS yields

One process per source parsed, then 3.1.6 and 3.1.7, which combine them. The four flows leaving 3.1.7 on the right are the outputs 3.1 shows at Level 2. Every process here drills to its own section of 5.0 Load and Parse, which was written because these processes had no spec at all. 3.1.6 carries a known defect, recorded in 5.0 §3.0: the settlement date for market quotes is derived from the FedInvest price date rather than from the quote file’s own date.