12.3.3 SA Long Shock (Reference for Flattener and Steepener only)

Figure 12-9 Formula to calculate SA Long Shock

Description of formula to calculate SA Long Shock (Reference for Flattener and Steepener only) follows:

Where Delta R long shock for currency c on tenor (tk) is equal to the up or down R-bar long rate in basis points by currency times the Slong scaling factor on tenor (tk), which is equal to the one minus the natural exponent of the quantity of the negative yield curve tenor length in years (tk), divided by x = 4. Note that this is the additive inverse of the short rate scaling factor.