19.5 ALM Volatility Codes

This feature allows you to set a static shock percentage (positive or negative) to be applied to ALM Volatilities in a Forecast Rates window.

For more information, see the Cash Flow Engine ReferenceGuide.

This pane displays the list of Interest Rate Codes that are defined as ALM Volatility Surface. To view or edit an ALM Volatility, following are the prerequisites:

• Interest Rate as an ALM Volatility Surface.
• Have a matching currency to the Forecast Rates Reporting Currency

For more information, see the Interest Rates Details section.

Following is an example to define the Shock Percentage for ALM Volatility Surface. These steps can be repeated for each new scenario.

1. From Currency Codes, select a Currency, for example, USD: US Dollar. Only ALM Volatility Surfaces of the same currency will be available.
2. In the ALM Volatility block, select a Vol Surface.
3. Enter shock percentage for respective ALM Volatility. You can enter positive or negative values here (between -99.9999 and 1,000).
4. Click Apply. A confirmation box is displayed.
5. To view the results of the shock, select an ALM Volatility, and then click View.
6. To remove the shock percentage, click Un-Define.