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Scenario-Linked Yield Spread Table (December, 2008)

Article Summary:

Starting with version 12.3.03.001, AXIS now offers the functionality that allows you to apply scenario-dependent yield spread tables as adjustments to arrive at the Adjusted Yield Curve.


If the yield spreads do not vary by scenario, the Yield curve flat adj and the Yield curve mult adj tables can be selected directly in the cell. 

Otherwise, scenario-dependent yield spread tables can be linked to the corresponding future scenarios by means of the Linked Table associated with each future scenario. The "linked" scenario-dependent yield spread tables can be referenced by using the Scenario links index in the Processing section and by selecting table method Use scenario links index for the Yield spread and/or Yield prop adj table in the Market Value section of an Asset or Reinvestment cell assumption. A table method can be selected by right clicking on this table field and selecting the table method option. 

To use this feature, the following steps must be taken:

  1. Link the scenario-dependent yield spread table(s) to its scenario, called, for example, scenario S1. This is done by editing future scenario S1 and clicking the Link button. Select Type "Yield spread table" or "Yield proportional adjustment table" for the linked table type, double-click any of the unused index rows, select the scenario-dependent yield spread table, and note the link index number used.
  2. In the Asset or Reinvestment cell to which the selected scenario-dependent yield spread table is applied, enter the link index number used in step 1 above in the Scenario links index field in the Processing section. In the same cell, select table method Use scenario links index for the Yield spread and/or Yield prop adj table in the Market Value section.

When this cell is run interactively or in a batch, this scenario-dependent yield spread table will be applied if scenario S1 is the current scenario. 

Note that once you have selected a link index number for a cell, the same index number must be used in all other scenarios to link to this cell.

For more information on setting up scenario dependent yield spread tables, please refer to the help text on Scenario links index.

 

 

 

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