An array where the 1st term corresponds to the known zero rate with the lowest maturity, and the second term corresponds to the zero rate with the next lowest maturity and so on.
evaluationDate
The date when the zero rate curve in constructed. Note that the zero rate curve just like the zero rates themselves will vary with time.
maturityDates
The dates which correspond to the maturities of the zero rates. That is, the first maturity date corresponds to the maturity of the zero rate with the nearest maturity, the second (date) term corresponds to the maturity of the zero rate with the next nearest maturity.
maturityRequired
This the maturity of the zero rate which will be returned by the method.
businessCalendarName
The name of one of the implemented business calendars, "London" by default.
Return Value
The zero rate for the required maturity in decimal format (i.e. 1 percent = 0.01)
Remarks
In particular, we apply the
(usual) convention that the zero curve in linear between known points of the curve (that is,
known zero rates) and is constant (i.e. flat) for maturities less than the lowest known maturity,
or greater than the highest known maturity.