Valuation Parameter Import Templates

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The following import template files are described and can be downloaded from here:

1. Future Convexity Adjustments
2. Inflation Seasonality Factors

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Future Convexity Adjustments

Under the VALUATIONS/OTHER SETTINGS menu item, you can define the mean reversion and the short rate volatilities to calibrate the Hull-White model that will be used to derive future convexity adjustments. The user will have to input a volatility for T0 and for at least another tenor.

See permissible values.

Example Download

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Inflation Seasonality Factors

Under the VALUATIONS/OTHER SETTINGS menu item, the user can define additive seasonal adjustment factors to inflation forward rates.

See permissible values.

Example Download

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TRS Import Templates

Import template files for TRS

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