[erlang-questions] Keeping massive concurrency when interfacing with C
John Smith
emailregaccount@REDACTED
Wed Oct 5 02:48:28 CEST 2011
Hi Richard,
Here's an example: imagine you've plotted a curve of US Treasury
yields and their maturities:
http://en.wikipedia.org/wiki/File:USD_yield_curve_09_02_2005.JPG
You do this for 360 months (30 years) and have a yield for every
month. Now obviously there aren't data points for every month (there
are no 12.5-year Treasuries) so you have to come up with data points
for those months (but we can ignore that detail).
Now you've constructed your yield curve and you want to shock it. What
that means is you either shift the curve up or down by a fixed amount
of basis points for every yield point. If you shock the curve 100
basis points up (100 basis points equals 1 percent), you move every
yield point up by 100 basis points, and now you have your shocked
yield curve (shocking normally occurs at major intervals, e.g., 25,
50, 100). You can then evaluate how your portfolio would fare in this
environment.
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