Name: | StressTestingChangeInImpliedVolatilityDimension |
---|---|
Label: | Stress Testing Change In Implied Volatility |
TREF ID: | DM381 |
Type: | Predefined |
Description: |
This dimension is used to represent the relevant stress testing scenario to which a change in implied volatility is applied to the calculation of the reported information. |
Usage: |
Dimension Members
Name | Label | TREF ID | Description |
ImpliedVolatility100PctIncrease | Implied Volatility 100 Pct Increase | DV4138 |
The information reported is based upon the application of a stress testing scenario representinga 100 % increase in the implied volatility used in the valuation calculations of the relevant positions. |
ImpliedVolatility200PctIncrease | Implied Volatility 200 Pct Increase | DV4136 |
The information reported is based upon the application of a stress testing scenario representinga 200 % increase in the implied volatility used in the valuation calculations of the relevant positions. |
ImpliedVolatility250PctIncrease | Implied Volatility 250 Pct Increase | DV4140 |
The information reported is based upon the application of a stress testing scenario representinga 250 % increase in the implied volatility used in the valuation calculations of the relevant positions. |
ImpliedVolatility50PctDecrease | Implied Volatility 50 Pct Decrease | DV4137 |
The information reported is based upon the application of a stress testing scenario representinga 50 % decrease in the implied volatility used in the valuation calculations of the relevant positions. |
ImpliedVolatility75PctDecrease | Implied Volatility 75 Pct Decrease | DV4139 |
The information reported is based upon the application of a stress testing scenario representinga 75 % decrease in the implied volatility used in the valuation calculations of the relevant positions. |
ImpliedVolatilityNoChange | Implied Volatility No Change | DV4135 |
The information reported is based upon the application of a stress testing scenario representingno change in the implied volatility used in the valuation calculations of the relevant positions. |