13th November 2023
Yield Curve Fitting
Menu → Misc. Tools → NSS Many-Point Single-Curve Fitting: This is a new tool for fitting a Nelson-Siegal-Svensson curve out of many curve data points.
- Download the template and fill the “Input” tab with your own curve points data.
- In the “Fitted” tab, enter the tenors for which you wish to obtain the fitted curve points.
- Upload the template. It will be regenerated with the Nelson-Siegal-Svensson parameters populated and the fitted curve points populated.
- This is suitable when you wish to fit a curve out of an entire index space. It does not concern the actual curve type being fitted.
Yield Curve Interpolation and Extrapolation
Menu → Misc. Tools → Smith-Wilson Batch Curve Generation: This is a new tool where you can generate a large number of Solvency II-compliant curves using the Smith-Wilson algorithm:
- Download the template and fill in the “Params” tab with Smith-Wilson parameters.
- Each of the rest tabs contains a set of curves with the same tenor data.
- The table column names in the "Params" tab must correspond to the rest tab names.
- Upload the filled template; and a complete set of Smith-Wilson interpolated/extrapolated curves each with 150 years of length will be generated.
- Accepted input curves are par and spot curves of arbitrary tenors. Output curves include the spot, the par, the forward and the discount rates.
The Smith-Wilson algorithm is the only well-established algorithm that ensures smoothness of the forwards.
Curve Stressing for Interest Rate and Spread Risk Capital Calibration
Menu → Data & Parameters → Curves 'Get'/'Set'/'Set Base' for Solvency II, Bermuda, LAGIC, ICS and Singapore RBC yield curves:
- ‘Get’ generates a spreadsheet with 3 tabs - “BaseCurve”, “UpCurve” and “DownCurve”, containing curves used for interest rate SCR calculation.
- ‘Set’ allows you to upload such a spreadsheet (with possibly modified values and/or added rows) to customize the parameters.
- ‘Set Base’ allows you to upload a spreadsheet containing only the “BaseCurve” tab, and the up/down stressed curves will be generated according to your supplied base curves.
Auto-Update of the App
From version v1.12.2.0 onwards, the app will self-check upon every start and auto-update if there is a newer version.
Misc. Bug Fixes
- Unrated bonds and loans under LAGIC and BSCR are added with more correct capital calculations.
- Matching adjustment data is added with a column
DurXMA which means "Duration Times Matching Adjustment". It is available for export in the Portfolio SCR form.
This quantity, rather than the Matching Adjustment itself, should be the one used for Matching Adjustment optimisation.