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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Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| StressSetName | String | Name of StressSet to which results are applicable |
| StressDirection | String | Either 'up' or 'down' depending on direction of interest rate move stress |
| t | Double | Time from now to cash flow (in years) |
| r | Double | Unstressed interest rate (as a decimal not as a percentage) |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Solvency II functions
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Computation units used
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