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EaR - Coggle Diagram
EaR
Yield curves
DWH.Market_data
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- 1D EONI
- 1D ESTR
- 1M
- 3M
- 6M
- 12M
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- Interest_rate_shifted
- cap
- floor
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Schedules
Labels
- Floating portfolio, existing, SBA
- Floating portfolio, new, SBA
- Floating portfolio, existing, non-SBA
Floating portfolio
- Segment_type in ('F','S','C')
- The coupon type is float of structure
- The notional is Euro or Dutch guilder.
- The interest rate is not refixed.
- The product is not CANO
- When the segment type is ‘S’, additional filtering is applied:
- The interest and start date are different, in order to exclude the records which only contain an initial payment.
- The product is not ‘CPFL’ or ‘IRSW’
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Report
exec RPT.proc_report_ear_current ddt_surrkey, 'main'
EAR current
= number of days in the period * (daily interest scenario - daily interest basis scenario)
Scenarios
basis_rente (basis interest)
basis_rate schedule_days (\@days_daycount * outstanding principal amount / 100)
scenario_rente (scenario interest)
scenario_rate schedule days (\@days_daycount * outstanding principal amount / 100)
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