1. Asset Liability Management User Guide
  2. OFSAA Rate Management
  3. Interest Rates Details
  4. Interest Rate Code Tabs
  5. Parameters Tab

5.2.2.2 Parameters Tab

Fixed income instruments are used for forecasting and simulating the Cash Flows. The Cash Flow Engine needs interest rate models to simulate the evolution of interest rates. The Cash Flow Engine uses these models as part of the stochastic engine. You can enter the parameters for these models in the following ways:

  • System-generated calculations through Parameter Estimation
  • Direct input into the UI
  • Excel Import
  • UI entry through Data Input Helper methods
  • Data Loader

The following interest rate models are available:

  • Extended Vasicek
  • Ho and Lee
  • Merton
  • Vasicek