1. Asset Liability Management Cloud User Guide
  2. Business Rules Administration
  3. Application Specific Rules
  4. Discount Methods
  5. Discount Method Examples
  6. Spot Interest Rate Code

4.3.9.7.2 Spot Interest Rate Code

(Required) <Enter a short description here.>

In the Spot Interest Rate Code Method, the discount factor depends on the term of the Cash Flow, but does not vary with interest rate scenario.

Interest Rate Code = Treasury Yield Curve

The formula for the Market Value of the account, for any rate scenario, is:

Market Value = Cash Flow1/ (1 + 1 Year Treasury) + Cash Flow2/ ((1 + 2 Year Treasury)^2)

Cash Flow1 is the Cash Flow at the end of year 1. Cash Flow2 is the Cash Flow at the end of year 2. The val­ues for 1 Year Treasury and 2 Year Treasury reflect the values from the Historical Interest Rate Data, beginning with the As_of_Date.