Defining a Hybrid Curve with Hybrid Curve Type
as Custom Weighted Average
5.1.2.1.4.1.4 Defining a Hybrid Curve with Hybrid Curve Type
as Custom Weighted Average
To define a Hybrid Curve, perform the following steps:
Select the Structure Type as Hybrid, and then
select the Hybrid Curve Type as Custom Weighted
Average.
Select the Interest Rate Curves for the Hybrid Type and click
Apply. Only one Interest Rate Curve Definition is
allowed for selection.
The screen displays the Hybrid Term Structure Weights for the
selected Interest Rate Curves and the Merge type Hybrid Curve.
By default, all the Term Points are selected and displayed. You can uncheck one
or more Term Points.
Enter the Terms and Multipliers for each of the selected Terms.
OR Optionally, you can select the Moving Average Term
toggle switch to define the Terms and Multipliers for the selected terms at
once.
Enter the Weights for the each term and respective Historical Effective Dates.
By default, all the Weights are zero. You can change the values as per your
requirement.