11.2.3 Scenario-based Market Value Calculations

In scenario-based processes, users select, per product and currency, an IRC as their valuation curve. Market value sensitivity processes use shocks to the as-of-date rates to drive the market value changes. Dynamic market value calculations use the forecasted curve as of the dynamic valuation date. The set of valuation curves can be determined from the Discount Methods assumption rule. The system converts all rates to zero-coupon format before processing.