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
๐Scenario 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
๐ผPortfolio 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: โWhat happens to my portfolio value if CBK raises rates by 100 bps?โ or โHow would a flattening curve impact my long-duration positions?โ 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
ฮP/P โ -Duration ร ฮy
where ฮy = yield change in decimal form
// With convexity adjustment
ฮP/P โ -Duration ร ฮy + 0.5 ร Convexity ร (ฮy)ยฒ
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.