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Which Way Does Risk Manager Generate Rate Path For Whole Risk Free Yield Curve? (Doc ID 282062.1)

Last updated on FEBRUARY 11, 2020

Applies to:

Oracle Risk Manager - Version 4.5.38 and later
Information in this document applies to any platform.
Oracle Financial Services Applications (OFSA)
Oracle Risk Manager - Version: 4.5.38
Information in this document applies to any platform.

Goal

Which way does Risk Manager generate the rate path for whole risk free yield curve?

When simulating the yield curve, how will other terms like 3 month or 7 year rate be generated? Will other terms apply the term structure parameters and run simulation? Or does OFSA simulate 1 month rate path according to the parameters, and we have to provide the relationship for other terms against 1 month rate.

Solution

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