1. Cash Flow Engine Reference Guide
  2. Cash Flow Dictionary
  3. Cash Flow Columns
  4. Convexity (CONVEXITY_C)
  5. Module Usage

8.2.32.2 Module Usage

Both the Static Deterministic and Dynamic Deterministic ALM Processes will calculate and output convexity when the Market Value option is selected from the Calculation Elements block. This result is written to FSI_O_RESULT_MASTER and FSI_O_CONSOLIDATED_MASTER tables for each scenario defined in Forecast Rates. Additionally, users can choose to update the instrument data with Convexity for each record if the related option is selected on the Output Preferences block. The instrument record will be updated for scenario 1 result only.

Refer Cash Flow Calculations chapter for detail on how this is calculated by Cash Flow Engine.