This topic pertains to a capital market simulation of the custom type and allows you to import simulated spot yield curves from ProVal database files into the simulator, so that Stochastic Assumptions referencing the simulator will be able to forecast interest rates to the full government, corporate, or custom bond yield curve.

Select a Government Yield Curve Database File, a Corporate Yield Curve Database File, and/or an Custom Yield Curve Dateabase File  from the list of ProVal databases that contain yield curves and are associated with this ProVal client. The database file may have been created “manually” or it may have, at least originally, been created by using the Export Yield Curves button of an Explicit Corporate Yield Curve type of Capital Market Simulation. Alternatively, if you select “<None>”, the Stochastic Assumptions that reference this custom Capital Market Simulation will not be able to forecast to a full yield curve for the parameter’s bond type (government, corporate, or custom). Instead of “<None>”, if this Capital Market Simulation was created by selecting an Explicit Corporate Yield Curve simulator (that has been run and saved) and subsequently changing its type to Custom, the “<Use yield curves generated in cloned simulator>” selection is available for government and/or corporate yield curves. Stochastic Assumptions will be able to forecast to these full yield curve. The simulated yield curves will be the same one(s) that the original Explicit Corporate Yield Curve simulator produced.

A selected database is expected to contain spot yield curves by forecast year and stochastic trial, with each record in the database defining a spot yield curve. As noted above, there are fundamentally two methods for creating yield curve databases:

• Once a capital market simulator of the Explicit Corporate Yield Curve type has been run, its government and/or corporate bond spot yield curves may be exported to databases.

• Alternatively, as for any ProVal database, simulated full spot yield curves may be imported from an external file. A sample record layout (“Import simulated full yield curves”) is provided in the Record Layout Library of the Database Menu and may be used as a guide for setting up the import file. (See Import Data under the Import / Export Data group of Database Menu commands.)

Each database must contain a minimum of thirty-two standard yield curve database fields. Each record in the database must define a spot yield curve. The relevant forecast year is defined by the field “yFcstYear” and the relevant stochastic trial is specified in the “yTrial” database field. The spot yields of maturities one through thirty are defined in fields “yDur01” through “yDur30”, respectively. If there is a desire to have identical spot yield curves for all trials in a given forecast year (e.g., the first year), there should be one record for that year with a value of zero in the “yTrial” field. (Note: You must use these field names for any simulated full yield curve ProVal database you intend to import.)

Simulated full spot yield curve databases may be edited by use of the commands of the Edit Data command group on the Database Menu. The database contents may be displayed by selecting Spreadsheet Edit from this command group or by use of the Shortcuts pane (select “Databases”, then select the database from the list and double-click its name to open it). Alternatively, you may display database contents by using the List Data command of the Import / Export Data group of commands on the Database Menu. Summary yield curve statistics are available under the Frequency Tables and Descriptive Statistics commands of this menu.