Scenario Pricing

Under Risk→Scenarios, we propose a few scenarios for modelling alternatives. This currently supports changes of yield curve interpolation and implied volatility models for options. This is a draft module that we will be working to improve in the near future, towards including sensitivity definitions as well as more general scenarios for Stress-Testing.

Once a (model) scenario has been generated, prices can be recalculated for example at trade level or with the portfolio pricer.