摘要 |
<p>A financial instrument evaluation system for providing the ability to measure the exposure of a financial instrument, or portfolio of financial instruments, to changes in interest rate volatility. It is recognized by the present that the interest rate sensitive financial instruments react in valuation to both the level of interest rates and the volatility of those interest rates. Therefore, what is provided is a method and apparatus for determining a volatility exposure value indicative of the expected change in valuation of a financial instrument for each one point change in level of volatility and, further, method and apparatus for applying interest rate (level and volatility) forecasts to provide an assessment of the expected percentage change in valuation of a financial instrument given a one unit change in interest rates and/or volatility level.</p> |