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Basic Input
Risk figures and Scenarios
| Description | Value | Emb. Option |
|---|---|---|
| Present value | {{res.pv | number:2}} | {{res.pv_opt | number:2}} |
| Time to maturity | {{res.ttm | number:2}} | |
| Interest rate basis point value | {{res.bpv_ir | number:2}} | {{res.bpv_ir_opt | number:2}} |
| Spread basis point value | {{res.bpv_spr | number:2}} | {{res.bpv_spr_opt | number:2}} |
| Effective interest rate duration | {{res.dur_ir | number:2}} | |
| Effective spread duration | {{res.dur_spr | number:2}} |
| FTP Component | Rate |
|---|---|
| Current gross margin | {{res.margin * 100 | number:4}}% |
| Fair rate or float spread | {{res.fair_rate * 100 | number:4}}% |
| --Credit Transformation Charge | {{res.credit_charge * 100 | number:4}}% |
| --Liquidity Transformation Charge | {{res.liquidity_charge * 100 | number:4}}% |
| --Basis Transformation Charge | {{res.basis_charge * 100 | number:4}}% |
| --Maturity Transformation Charge | {{res.maturity_charge * 100 | number:4}}% |
| --Equity IR Charge | {{res.eq_charge * 100 | number:4}}% |
| Scenario | Value | PnL |
|---|---|---|
| BCBS 368 up | {{res.pv_up | number:2}} | {{res.pv_up-res.pv | number:2}} |
| BCBS 368 down | {{res.pv_down | number:2}} | {{res.pv_down-res.pv | number:2}} |
| BCBS 368 short rate up | {{res.pv_shortup | number:2}} | {{res.pv_shortup-res.pv | number:2}} |
| BCBS 368 short rate down | {{res.pv_shortdown | number:2}} | {{res.pv_shortdown-res.pv | number:2}} |
| BCBS 368 steepener | {{res.pv_steepener | number:2}} | {{res.pv_steepener-res.pv | number:2}} |
| BCBS 368 flattener | {{res.pv_flattener | number:2}} | {{res.pv_flattener-res.pv | number:2}} |
Cashflows
| Accr start date | Accr end date | Pmt date | Interest date | Fixing date | Repay date | Condition change date | Curr principal | Accr | Int pmt | Principal pmt | Total pmt |
|---|---|---|---|---|---|---|---|---|---|---|---|
| {{x | date:'yyyy-MM-dd'}} | {{cashflows.date_accrual_end[$index] | date:'yyyy-MM-dd'}} | {{cashflows.date_pmt[$index] | date:'yyyy-MM-dd'}} | {{cashflows.is_interest_date[$index]}} | {{cashflows.is_fixing_date[$index]}} | {{cashflows.is_repay_date[$index]}} | {{cashflows.is_condition_date[$index]}} | {{cashflows.current_principal[$index] | number:2}} | {{cashflows.accrued_interest[$index] | number:2}} | {{cashflows.pmt_interest[$index] | number:2}} | {{cashflows.pmt_principal[$index] | number:2}} | {{cashflows.pmt_total[$index] | number:2}} |