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SolvencyII_SCRSFTermStructureStressedRate

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Function Description

Returns the stressed interest rate applicable by applying a given Stress (as defined by StressName) to a cash flow payable at time t from now, assuming that the unstressed interest rate is r. Proposed (term dependent) factor has changed during consultation process, so table returned varies according to choice of StressSetName, see MnSolvencyII_SCRSFStressSetNames and according to whether the stress direction is “up” or “down”.

 

See Nematrian Solvency II Tools for further details.

 


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