Rate tables

Created by Erik Åkerlund, Modified on Mon, 20 Feb 2023 at 02:29 PM by Erik Åkerlund

Interest Rate / Price / Volatility tables

The Interest Rate/Price/Volatility Tables is a multipurpose register which will list yield curves with interest rates and bond rates that are used in market valuations and simulations and volatility tables that are used in FX and interest rate options analysis. The register is also used for interest fixings. The rates are listed under a table name which can contain alphabetical as well as numerical signs. The name is usually a date.

The rate table can be found under Register > Interest Rate / Price / Volatility Tables

Period codes entered here must first be defined in the Interest Rate Period register (Register > Setup > Interest Rate Period).

Codes must be defined in Base Code Table (Register > Setup > Base Code Table).

Simulation tab

The simulation tab is used to enter simulated absolute percentage changes per maturity step in the curve. The simulation curves are then used to run budget simulation reports in the Report Manager.

Currency rate tables

The Currency Rate tables will list spot, swap and forward rates under a table Name. The table names can contain alphabetical as well as numerical signs. The table Name is selected when running reports where currency rates are needed for calculations. The name is usually a date.
The rates are quoted only against one quote base currency defined in System parameters. 

Forward rates are calculated from the downloaded Spot rates and swap points. 

If you wish to export to Excel press the Overview button. 

Then press F7 and enter the register you would like to export. For example if you wish to get the tables for September 2017 you enter 1709% and press F8.

To export to excel press Print button


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