8.6.3.8 Intraday Assignment Method – Leg 1 and 2
When the Intraday Assumption is selected as Yes in the Business Assumption Definition window the Intraday Assignment Method – Leg 1 and 2 is applicable.
For Assumptions, which include time bucket as a dimension, Assumption methods are defined in the Business Assumptions window. For each leg of the assumption, the intraday assignment method is chosen separately. Assignment methods signify the method by which payments at a higher level intraday time bucket flow down to lower level intraday time buckets. Assignment methods for intraday assumptions are listed as follows:
- Selected Time Bucket
In this method, payments from one time bucket are aggregated and shifted to another selected time bucket. The size of the source and target time buckets is not same; since aggregation and /or dispersion occurs at a higher time bucket level. This assignment method is available in all assumptions. In case of a payments shift assumption, if the selected buckets are at a higher level, payments get aggregated and dispersed equally at all constituent lower buckets. In case of a drawdown assumption, if the selected bucket is at a higher level, a single drawdown for the input value occurs at any level zero bucket of the higher level. The same principle holds good for offset bucket as well. In case of a payments default assumption, if the selected residual time bucket is at a higher level, the payments are dispersed equally at all constituent lower buckets.
- Parallel Time bucket
In this method, payments from one bucket are shifted in parallel to another bucket of the same level as the source bucket. In other words, a constant shift happens to all level 0 buckets constituting the higher level buckets.
This assignment method is available only for Payments Shift assumption:
For example: Within a Payments Shift Assumption, if
- Source bucket (level 3): 11-12 hrs
- Target Bucket- (level 3): 9-10 hrs
If the level zero buckets are in minutes, then all payments under 11:00 moves to 09:00 bucket, all payments under 11:01 moves to 09:01 bucket, all payments from 11:02 moves to 09:02 and so on.
In case of a drawdown and value change assumption, parallel bucket option is not applicable.