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SSASIM input table CAPMRKT

Contains parameters that control generation of capital market asset returns transition paths and kinks, and equity return mean-reversion parameters.

Parent table is: RUN

Go to SSASIM input parameters overview

SSASIM:   CAPMRKT . id
Identifies a row that specifies the various parameters used to generate the time path of asset returns.

Valid values: 1 to 999999999 (nine digits), Integer

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . notes
Describes specification of table row in free-form note.

Valid values: any ASCII text (Note: do not copy and paste from a word processor because of the possibility of embedded non-ASCII characters.)

Source code: notes are not read by the model

SSASIM:   CAPMRKT . nir0
Specifies initial RUN.year_zero value of Treasury bond yield, or nominal interest rate (nir), which is one of model's stochastic variables whose future ultimate (or post-transition) values are determined by ASSUMP and child tables parameters (see above). Value of nir0 is expressed as the natural logarithm of the decimal rate.

Valid values: any, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . nir_kink
Specifies whether or not transition path from initial value of nominal interest rate to its ultimate, post-transition values has a single kink (or bend) point or is linear (without a kink).

Valid values: T (=1) or F (=0) (for true or false), Logical

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . nir_kvalue
Specifies nir kink point value if nir_kink is true. Value of nir_kvalue is expressed as the natural logarithm of the decimal rate at kink point. If kink point is assumed, the nir transition path is a linear interpolation from its initial year value to kink point value in every scenario. Scenario variation in transition path is restricted to years after nir_kyear (see below), or after nir_byear (if nir_bend is true; see below), as nir values are interpolated between nir_kvalue (or nir_bvalue) and the ultimate value of nir, which is generated using ASSUMP and child tables parameters. Value is read only if nir_kink is true.

Valid values: any, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . nir_kyear
Specifies simulation year of nir kink point value if nir_kink is true. Value is read only if nir_kink is true.

Valid values: 1 to ( RUN.num_years - 1 ), Integer

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . nir_bend
Specifies whether or not transition path from kink value of nominal interest rate to its ultimate, post-transition values has a bend point or is linear (without a bend).

Valid values: T (=1) or F (=0) (for true or false), Logical [True value is allowed only if nir_kink is true.]

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . nir_bvalue
Specifies nir bend point value if nir_bend is true. Value of nir_bvalue is expressed as the natural logarithm of the decimal rate in the bend year. If bend point is assumed, the nir transition path is a linear interpolation from its kink year value to bend point value in every scenario. Scenario variation in transition path is restricted to years after nir_byear (see below) as nir values are interpolated between nir_bvalue and the ultimate value of nir, which is generated using ASSUMP and child tables parameters. Value is read only if nir_bend is true.

Valid values: any, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . nir_byear
Specifies simulation year of nir bend point value if nir_bend is true. Value is read only if nir_bend is true.

Valid values: nir_kyear+1 to ( RUN.num_years - 1 ), Integer

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . eqr0
Specifies initial RUN.year_zero value of equity return (eqr), which is one of model's stochastic variables whose future ultimate (or post-transition) values are determined by ASSUMP and child tables parameters (see above). Value of eqr0 is expressed as the natural logarithm of the nominal gross annual return (that is, one plus the decimal annual rate of return).

Valid values: any, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . eqr_kink
Specifies whether or not transition path from initial value of equity return to its ultimate, post-transition values has a single kink (or bend) point or is linear (without a kink).

Valid values: T (=1) or F (=0) (for true or false), Logical

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . eqr_kvalue
Specifies eqr kink point value if eqr_kink is true. Value of eqr_kvalue is expressed as the natural logarithm of the decimal return at kink point. If kink point is assumed, the eqr transition path is a linear interpolation from its initial year value to kink point value in every scenario. Scenario variation in transition path is restricted to years after eqr_kyear (see below) as eqr values are interpolated between eqr_kvalue and ultimate value of eqr, which is generated using ASSUMP and child tables parameters.

Valid values: any, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . eqr_kyear
Specifies simulation year of eqr kink point value if eqr_kink is true.

Valid values: 1 to ( RUN.num_years - 1 ), Integer

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . tbs0
Specifies initial RUN.year_zero value of Treasury bill spread (tbs), which is one of model's stochastic variables whose future ultimate (or post-transition) values are determined by ASSUMP and child tables parameters (see above). Value of tbs0 is expressed as the difference in the natural logarithm of the nominal Tbill yield and the natural logarithm of the nominal Tbond yield (that is, log(bill_yield) - log(bond_yield))

Valid values: any, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . tbs_kink
Specifies whether or not transition path from initial value of equity return to its ultimate, post-transition values has a single kink (or bend) point or is linear (without a kink).

Valid values: T (=1) or F (=0) (for true or false), Logical

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . tbs_kvalue
Specifies tbs kink point value if tbs_kink is true. Value of tbs_kvalue is expressed as the difference in the natural logarithm of the Tbill yield and the natural logarithm of the Tbond yield at kink point. If kink point is assumed, the tbs transition path is a linear interpolation from its initial year value to kink point value in every scenario. Scenario variation in transition path is restricted to years after tbs_kyear (see below) as tbs values are interpolated between tbs_kvalue and ultimate value of tbs, which is generated using ASSUMP and child tables parameters.

Valid values: any, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . tbs_kyear
Specifies simulation year of tbs kink point value if tbs_kink is true.

Valid values: 1 to ( RUN.num_years - 1 ), Integer

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . tbond_dur
Specifies modified duration of Treasury bonds whose interest rate is characterized by the nir assumption variable. See other parameters in this table and the assumption TRND_MV table for details on the nir variable.

Valid values: 0.0 to 20.0, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . eqr_mr_spd
Specifies speed of equity return mean reversion, where a value of zero implies no mean reversion.

Valid values: 0.0 to 1.0, Real

Source code: capmrkt.h and capmrkt.cpp

SSASIM:   CAPMRKT . eqr_mr_yrs
Specifies number of years of prior equity returns used in geometric average, which is denoted by eqr(A). The assumed mean eqr value from the TRND_MV table is denoted by eqr(M). The mean reversion process is such that the simulated eqr(t) has the following term added to it: eqr_mr_spd*[eqr(M)-eqr(A)].

Valid values: 1 to 10, Integer

Source code: capmrkt.h and capmrkt.cpp