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Multiple Interest Markets Feature Code Available for Use (December, 2013)

Article Summary:

AXIS now allows users to model multiple Interest Rate Markets in a single economic scenario! This functionality was under Beta Feature Code #349, but is now available for use in the 20140501 version of AXIS.


These new features are only available under the Flexible Scenario Format (see Knowledge Base Article #1625).

Directly Inputting Multiple Interest Markets into an AXIS Scenario

With this functionality, a single AXIS Scenario can contain multiple yield curves. This allows the user to input several yield curves such as Treasuries and LIBOR directly into the scenario and reference each curve in the model assumptions and financial projections.

Calculating Derived Interest Markets On-The-Fly in AXIS

In addition to allowing the user to directly input extra yield curves in the scenario, AXIS can also calculate additional yield curves on the fly. These are referred to as Derived Interest Markets. They are defined as an adjustment to an existing Interest Market. The adjustment can be an additive spread curve (e.g. 1-year rate plus 1%), a multiplicative proportional adjustment curve (e.g. 1-year rate multiplied by 110%), or both. The spread curves and multiplicative adjustments can vary by projection period. These adjustments and the Reference Interest Market (existing Interest Market) are defined by the user in a Derived Interest Market Assumptions object.

Referencing Interest Markets in Model Assumptions and Financial Projections

The AXIS model assumptions and financial projections use a Scenario Reference Object or an Interest Market Link to reference a specific Interest Market. If a specific Interest Market is not chosen, the user can specify a Designated Interest Market to use as a default assumption.

More Information on Multiple Interest Markets in AXIS

Knowledge Base Article #1704 contains an in depth overview of the Multiple Interest Market functionality in AXIS. There is also a case study in the Knowledge Base article that makes use of the functionality.

 

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