Questions on How to Calculate the Moving Average Hybrid Curve Interest Rates (Doc ID 1499905.1)

Last updated on MARCH 10, 2023

Applies to:

Goal

Moving Average Hybrid Curves are created in Rate Management > Interest Rates by selecting Structure Type = Hybrid and Hybrid Curve Type = Moving Average. 

Q1. If you use a "Moving Average Term" of 1 Month, does Rate Management convert it to the equivalent days and look back by that term? Does it understand that some months have 30 days and some 31 days?  What about for years?

Q2. If you use a "Moving Average Term" of 10 days but only have 5 days of rates data, when calculating the moving average, will the denominator be 10 or 5?

Q3. Is there a query that can be used to find missing effective date?

Q4. Does the Moving Average Hybrid Curve calculation reference the Holiday Calendar?

Q5. Provide an example of the Moving Average Hybrid Curve calculation.
 

Solution

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