1. Cash Flow Engine Reference Guide
  2. Rate Conversion
  3. Rate Format Usage
  4. Monte Carlo Rate Path Generation

11.2.4 Monte Carlo Rate Path Generation

Monte Carlo processes require annually compounded Act/Act zero-coupon yields as the input. If the input IRC format is anything other than that, a conversion process is applied.

Stochastic rates output from the Monte Carlo engine is also annually compounded Act/Act zero-coupon yields.