12.2.4 Yield Curve Twist

For the Yield Curve Twist Forecasting Method, the user must select three term points to represent the following:

Short Point: This can be the first tenor from the yield curve, but can also be an intermediate point.

Anchor Point: The anchor point is typically the point on the yield curve where the pivot occurs. It typically does not change in a twisted scenario.

Long Point: The long point can be the last tenor in the yield curve or an intermediate point.

If intermediate points are selected for either the short point or the long point, all term points less than the short point and greater than the long point will reflect the same change amount input for the short and long points.