Generating Yield Curves

This section discusses how to generate yield curves and drift yield curves.

At this point, you've set up all the relevant pages for yield curves. Your next step is to create yield curves. You do this by running a jobstream that includes the Curve Generator application engine in its processing. Creating yield curves is an iterative process. If you don't think the output is satisfactory, you can go back to the various setup steps that are outlined in these topics and change the specifications as needed. Then, you can run the jobstream again and review the results.

To help you review your yield curves, you can use:

The View Curves inquiry page that enables you to graphically view the yield curve that you created.

Note: Ensure that the data is up-to-date. You can do this by checking the as of dates in the pages before generating the yield curves. The Pricing Index Model uses information from Curve Generator that if incorrect, negatively affects processing.

Pages Used to Generate Yield Curves

Page Name	Definition Name	Navigation	Usage
Yield Curve Generator	RUN_YC_GENERATOR	select Financial Services Industries, then select Interest Rate Environment, then select Yield Curve Generator, then select Yield Curve Generator	Generate yield curves.
Deterministic Drift Generator	RUN_YC_DRIFT	select Financial Services Industries, then select Interest Rate Environment, then select Yield Curve Generator, then select Deterministic Drift Generator	Generate drift yield curves.

Deterministic Drift Generator Page

Use the Deterministic Drift Generator page (RUN_YC_DRIFT) to generate drift yield curves.

Navigation

select Financial Services Industries, then select Interest Rate Environment, then select Yield Curve Generator, then select Deterministic Drift Generator

To generate drift models, ensure that you set up the drift models, then process that model by using the Drift Generation page. The Drift Generation page is a run control page that creates drift models that are established with drift yield curves. Select the drift model that you want to process in the Term Structure Model field, select aCurve Date, and click theRun button.

Note: Unlike drift rates, which need to be calculated by the Drift Generator, the shock rates need no prior generation. They are calculated at run time by the cash flow generator.