1. Cash Flow Engine Reference Guide
  2. Forecast Rate Calculations
  3. Standardized Approach Shocks
  4. SA Flattener Shock

12.3.5 SA Flattener Shock

Figure 12-11 Formula for SA Flattener Shock


This image displays the Formula for SA Flattener Shock.

Description of formula to calculate SA Flattener Shock follows:

Where Delta R flattener shock for currency c on tenor (tk) is equal to .8 times the absolute value of the Delta R Short plus -.6 times the absolute value of the Delta R Long rate. The Delta R Short and Delta R Long are the same values for the same currencies and tenors, as calculated in their respective shocks as described above. Standardized Approach shocks scaling factors for CPR & ER are stored in the table FSI_IRC_STDAPRCH_CPRER.