20 Forecast Rates

Forecast Rate Scenario Assumptions allow you to define future interest rates, future economic indicators, future currency exchange rates, future interest rate volatility, and select behavior pattern rule for cash flow calculation. Interest rate forecasts are used to project cash flows, including pricing new business, repricing existing business, calculating prepayments, and determining discount methods. Interest rate volatility forecast are used for option valuation. Economic Indicator forecasts are used to calculate cash flow for inflation-indexed instruments, included in Behavioral Modeling and scenario or stress analysis. Currency Exchange Rate Forecasts are used to account for the effects of currency fluctuations on income.

The Forecast Rate Assumptions use interest rate curve, volatility surface, economic indicator, active and reporting currencies, and behavior pattern rule.

This module describes how to create a Forecast Rates Assumption Rule to forecast Cash Flows and, if you work with multiple currencies, to model relationships between Interest Rates and Exchange Rates.

Topics:

• Forecast Rates Rule Summary Page
• Search Forecast Rate Rule
• Create Forecast Rate Rule
• View and Edit Forecast Rate Rule
• Copy Forecast Rate Rule
• Delete Forecast Rate Rule
• Dependency Check