1. Cash Flow Engine Reference Guide
  2. Forecast Rate Calculations
  3. Standardized Approach Shocks
  4. <Enter Concept Title Here>

12.3.4 <Enter Concept Title Here>

Figure 12-10 Formula for SA Steepener Shock


This image displays the Formula for SA Steepener Shock.

Description of formula to calculate SA Steepener Shock follows:

Where Delta R steepener shock for currency c on tenor (tk) is equal to -.65 times the absolute value of the Delta R Short plus .9 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. Formula constants above are stored in the table: FSI_IRC_STDAPRCH_SHOCKS.