9.2.2.1 Navigating Between Interest Rate Code Tabs

For new yield curves, you must begin with the Attributes tab. After you have selected attributes for a yield curve, you cannot edit them. After assigning the attributes, navigate to the Terms tab to define a term structure for your yield curve or volatility curve, that is, an overnight rate, a one-month rate, a three-month rate, and so on. To navigate to the Terms tab, either click Apply on the Attribute tab or click the Terms tab.

Note:

You must specify an Interest Rate Code, Name, and Reference Currency in the Interest Rate Code Details window before navigate to the Terms tab.

The first time you navigate to the Terms tab, an initial 1-month term point is provided, but even if this is the only term point you want for the curve, you must click Apply to finish the term structure specification. In future revisions to the curve's definition, navigate directly to the Historical Rates tab, but if you modify the term structure, you must always click Apply on the Term tab before navigating to the Historical Rates tab. The Historical Rates tab is used to input interest rate or volatility data. This tab is used for maintaining the interest rates database. To navigate to the Historical Rates tab, either click Apply on the Terms tab or select the Historical Rates tab if you have already defined your term structure.

Note:

You must specify the following before navigating to the Historical Rates tab:

• An Interest Rate Code, Name, and Reference Currency in the Interest Rate Code Details window.
• A term structure in the Terms tab.

• Attributes Tab
  Yield curve attributes include Rate Format, Compounding Basis, Accrual Basis, and Curve Identifier.
• Terms Tab
  Use the Terms tab to construct the yield curve's term structure. You can specify as many yield curve terms from the 1 day to 100 years range.
• Historical Rates Tab
  Use the Historical Rates tab to define, modify, or view interest rate data. Enter data in simple percentages (such as 5.125, 4.875, and so on). If you are entering historical rates for a volatility curve, then enter volatilities for the combination of Contract Term and Expiration Term. Select the desired Expiration Term from the drop-down list to complete the Volatility Matrix. Effective dates must be entered separately for each Expiration term in the list.
• Historical Rates Tab on Interest Rate Code window
  The Historical Rates Tab pane on the Interest Rate Code window allows you to see the historical rates available for the interest rate code that is being created.
• Add Historical Rates
  By default, the Historical Rates tab displays interest rate data for the past month (for example, for the 30 days leading up to the current date). Click the Effective Date Range drop-down list to expand your view to the last 3 months, 6 months, one year, 3 years, 6 years, or all rate data.
• Rate Lookup Behavior between Term Points
  The OFS Cash Flow Engine is common to OFS FTP, OFS PMTPC, OFS ALM, and OFS BSP applications. To lookup rates from Rate Management, the Cash Flow Engine performs an interpolation between yield curve Term Points. For example, in determining a Straight Term Transfer Rate (common for products such as time deposits), the Engine must determine a three-month rate from a yield curve that contains only a one-month rate and a six-month rate. In such a case, the Cash Flow Engine performs interpolation to determine the implied three-month rate. While each of the applications supports simple linear interpolation, OFS FTP and OFS ALM also support Cubic and Quartic Spline interpolation methods. These more advanced methods will be supported for all the OFS Analytical Applications in a future release.
• Rate Lookup Behavior Beyond Term Points
  If the Cash Flow Engine must determine a rate from a yield curve for a term point smaller than the first term point of the yield curve, then the Engine utilizes the first term point of the yield curve. For example, if the Engine must determine an overnight rate from a yield curve whose first term point is one month, the Engine utilizes the one-month rate.
• Rate Lookup Behavior between Effective Dates
  When you are looking up rates from Rate Management for a business date, the Cash Flow Engine helps to find if there is no rate data for that specific business date.
• Deletion of Historical Rates
  To delete historical rates entered, select one or more rows and then click Delete.
• Generate Graph
  The Generate Graph option allows you to generate the graph for selected Historical rates.
• Excel Import or Export
  To aid in data entry, use the Excel Import or Export functionality to add or edit rate data to historical rates. This is an optional step.