Skip to main content
The Curvature shock-up/down prices measures are Vi(xkRW(Curvature)±)−Vi(xk)V_i\left(x_k^{RW^{(Curvature)}\pm}\right) - V_i\left(x_k\right) in MAR21.5(2). Using linear interpolation, the shocked prices corresponding to the Curvature Risk Weight are determined from the Curvature Scenario UP/Down.CCY vectors. And, if PV Applied is not true/yes, the trade PV is subtracted.