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Curve Scenario Analysis

Model portfolio mark-to-market impact under different yield curve scenarios

Coming Soon

This model will enable stress testing of bond portfolios with:

Parallel shifts (all yields move by same amount)
Steepening scenarios (long rates up more than short rates)
Flattening scenarios (short rates up more than long rates)
Custom shock patterns by tenor
MTM impact calculation for each position
Portfolio-level duration and convexity changes

Scenario Builder

Select from pre-defined scenarios:

+50 bps parallel shift
+100 bps parallel shift
Steepening (short +25, long +75)
Flattening (short +75, long +25)
Custom shock by tenor bucket

Portfolio Selection

Analyze existing portfolios:

Select from saved portfolios
View current positions and weights
See baseline duration and convexity
Compare pre/post scenario metrics

Use Cases

Scenario analysis helps answer questions like: “What happens to my portfolio value if CBK raises rates by 100 bps?” or “How would a flattening curve impact my long-duration positions?” This is essential for risk management, regulatory stress testing, and strategic positioning ahead of monetary policy changes.

Calculation Method

The MTM impact is calculated using duration approximation:

// First-order approximation

ΔP/P ≈ -Duration × Δy

where Δy = yield change in decimal form

// With convexity adjustment

ΔP/P ≈ -Duration × Δy + 0.5 × Convexity × (Δy)²

For each position, the model applies the relevant yield shock based on the bond's tenor, calculates the price change, and aggregates across the portfolio.