1. Asset Liability Management User Guide
  2. OFSAA Rate Management
  3. Interest Rates Details
  4. Interest Rate Code Tabs
  5. Navigating Between Interest Rate Code Tabs
  6. Rate Lookup Behavior between Term Points

5.2.2.1.6 Rate Lookup Behavior between Term Points

The OFS Cash Flow Engine is common to OFS FTP, OFS PMTPC, OFS ALM, and OFS BSP applications. To lookup rates from Rate Management, the Cash Flow Engine performs an interpolation between yield curve Term Points. For example, in determining a Straight Term Transfer Rate (common for products such as time deposits), the Engine must determine a three-month rate from a yield curve that contains only a one-month rate and a six-month rate. In such a case, the Cash Flow Engine performs interpolation to determine the implied three-month rate. While each of the applications supports simple linear interpolation, OFS FTP and OFS ALM also support Cubic and Quartic Spline interpolation methods. These more advanced methods will be supported for all the OFS Analytical Applications in a future release.