Scenario Analysis Workbook

Uploaded by FINCADAnalyticsSuite on 15.07.2009

FINCAD Analytics Suite for Excel provides the analytics to define interest rate scenarios and run them against
a portfolio model using the scenario analysis workbook.
Let's take a look at this workbook in more detail
starting with a higher level overview of the workbook components.
The curve tab is where we would enter the data necessary to build the curve that would
be bumped with user specified scenarios.
The holiday tab is where we would enter holiday lists that would be used for date adjustments.
The scenarios themselves are defined on the bumps tab.
Let's go through an example.
Here we see a portfolio of bonds as of settlement date September 24th, 2009.
The portfolio consists of three bonds maturing in 2012, 2013, and 2014. 0:00:48.730,0:00:53:590 Now let's say you want to know what would happen to your portfolio if the rates were to change.
The bumps tab allows us to define twenty different parallel shift scenarios.
Each scenario is linked to a named range.
In this example we have pairs of positive and negative points ranging from one hundred
to one thousand.
The first set in the series is +100
and -100 basis points
The scenario shift is very flexible and easy to use.
We can enter any amounts in any order to suit any analysis need.
Take note this workbook should only be used for parallel shift analysis.
If you're looking to shift a single point of the base curve rather than a parallel shift,
please refer to the key rate risk analysis work book.
The outputs can be viewed on the example sheet.
The first DF curve column shows the portfolio value using the base curve.
Subsequent columns one through twenty show the portfolio value under the defined scenarios
that were specified in the bumps tab.
The difference between the base portfolio and the scenario portfolio clean price is shown in
row thirty six.
Now let's say you want to make a minor adjustment to the scenario.
I'm going to change the basis spread from one fifty to minus one fifty
To update the changes, I can either click calculate all
or go to the linked portfolio
and hit F nine.
As you can see, our difference in clean price as well as outputs and risk statistics
have now been updated.
There are a couple of ways to incorporate scenario analysis in your portfolio.
You can copy the entire workbook or just the sheets that you need
into your existing portfolio
or you can dynamically link this workbook.
To learn more on how to make the connection, refer to the 'Using the Scenario'
analysis workbook document.
This workbook is now available for download from the FINCAD client support portal.
If you'd like to learn more or would like to request a trial of this workbook
please visit us at