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Replacement of Currencies for Yield Curve Types ( RELNTRMRM40C_CURRREP )

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Replacement of Currencies for Yield Curve Types

Description

For release 4.5A for Market Risk Management, the new function 'Maintain currency replacement for yield curve types' was introduced for rate and price tables. Using this function you can choose a currency to be replaced and set up a replacement currency for a yield curve, and set the new currency to be valid as of a certain date. Every time the yield curve is accessed after this date, the system reads the the interest rates for the replacement currency.
There is no iterative replacement.

Example:

The following replacements are maintained:

YCtype Valid from From curr. To curr.
1 01/01/1999 AFA DEM
1 01/01/1999 DEM EURO

If you acces yield curve type 1 after 12/31/1998 with the currency AFA, AFA would be replaced by DEM. The yield curve would be constructed using AFA, but the interest rates would come from the yield curve for DEM (the replacement currency).

Effects on Customizing

You maintain currency replacement in Customizing under price and rate tables in the function 'Maintain currency replacement for yield curve types'.

Dependent functions

You need to be aware that every time you make an evaluation of a currency (to be replaced) after the validity date, the replacement currency will be used. The display in the function under 'Maintain yield curve' isn't affected.

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