5.2.2.1.7 Rate Lookup Behavior Beyond Term Points

If the Cash Flow Engine must determine a rate from a yield curve for a term point smaller than the first term point of the yield curve, then the Engine utilizes the first term point of the yield curve. For example, if the Engine must determine an overnight rate from a yield curve whose first term point is one month, the Engine utilizes the one-month rate.

If the Cash Flow Engine must determine a rate from a yield curve for a term point greater than the longest term point on the yield curve, the Engine utilizes the last term point of the yield curve. For example, if the Engine must determine a 30-year rate from a yield curve whose last term point is 10 years, the Engine utilizes the 10-year rate.