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/BA1/VC_TF4_SCNS - Edit Scenario Sequences

In this Customizing activity, you create scenario sequences.

A scenario sequence is series of market data scenarios with the category Scenario. These scenarios are not interpolated. Scenario sequences are used, for example, in the effectiveness test for fair value for the prospective regression effectiveness test method.

You always define scenario sequences as market data scenarios of the category Scenario Sequence or Not Defined and then define the characteristics in relation to a particular market data area. For each scenario sequence, enter a list of the scenarios included. Then enter the validity start of every scenario to determine the scenario sequence. The time units occur relative to the business key date of the evaluations.

Notes:

• If you do not enter a scenario for a fixed period, the system uses the market data that is valid for the evaluation date as a basis. The system calculates forward rates for the horizon date for yield curves and exchange rates. (For the fair value effectiveness test, the measurement time is used.)

• As a rule, you only create market data scenarios of the category Not Defined if you want to define them differently in different market data areas.

• In the Customizing activity Create Scenarios, you have created a market data scenario of the category Scenario Sequence or Not Defined, which you now want to define as a scenario sequence in relation to a market data area.

• In the Customizing activity Create Scenarios, you have created market data scenarios of the category Scenario or Not Defined and you have defined their characteristics in the Customizing activity Edit Market Data Scenarios.

You want to create a scenario sequence with the following scenarios:

• For the first year after the evaluation date: "Scenario SCEN_1"

• After the first year up to the fifth year: "Scenario SCEN_2"

• After the fifth year up to the tenth year: "Scenario SCEN_3"

• After the tenth year: "Scenario SCEN_4"

To do this, define a market data scenario of the category Scenario Sequence and then assign it to the relevant scenarios with the following time units: