Methods and systems for providing interest rate simulation displays
In one aspect, the invention comprises a computer system comprising means for displaying on a computer screen a chart illustrating level and volatility of a projected accounting performance based on a plurality of possible future interest rates, wherein the chart comprises a 50th percentile line, a 95th percentile line, and a 5th percentile line, and wherein the 50th percentile line, 95th percentile line, and 5th percentile line represent probability distribution over time of the projected accounting performance. In various embodiments: (1) for each of the one or more vertical bars, the uppermost dot represents a 95% best case for projected accounting performance and the lowermost dot represents a 95% worst case for projected accounting performance; and (2) the projected accounting performance comprises one or more of: net interest margin, interest expense, interest income, and present value.
1 . A computer system comprising:
means for displaying on a computer screen a chart illustrating level and volatility of a projected accounting performance based on a plurality of possible future interest rates,
wherein said chart comprises a 50th percentile line, a 95th percentile line, and a 5th percentile line, and
wherein said 50th percentile line, 95th percentile line, and 5th percentile line represent probability distribution over time of said projected accounting performance.
2 . A computer system as in claim 1 , wherein said 95th percentile line and said 5th percentile line form a cone that models potential volatility of said projected accounting performance.
3 . A computer system as in claim 1 , wherein said projected accounting performance is projected accounting performance per quarter.
4 . A computer system as in claim 1 , wherein said projected accounting performance is based on at least one interest rate scenario.
5 . A computer system as in claim 4 , wherein said at least one interest rate scenario comprises one or more of: a forwards scenario; an X/Y mean reversion scenario; a Z year pattern assumption scenario; and an inverted yield curve scenario.
6 . A computer system as in claim 1 , wherein said accounting performance comprises at least one of: net interest margin, interest expense, interest income, and present value.
7 . A computer system as in claim 1 , wherein said accounting performance comprises a combination of two or more of: net interest margin, interest expense, interest income, and present value.
8 . A computer system comprising:
means for calculating output of an interest rate simulation model; and
means for receiving said output and based thereon displaying on a computer screen a median high-low chart comprising one or more vertical bars,
wherein each of said one or more vertical bars represents a probability distribution,
wherein each of said one or more vertical bars comprises a center dot, an uppermost dot, and a lowermost dot, and wherein said center dot represents an expected level of interest cost.
9 . A computer system as in claim 8 , wherein for each of said one or more vertical bars, said uppermost dot represents a 95% best case for projected accounting performance and said lowermost dot represents a 95% worst case for projected accounting performance.
10 . A computer system as in claim 9 , wherein said projected accounting performance comprises one or more of: net interest margin, interest expense, interest income, and present value.
11 . A computer system as in claim 8 , wherein at least one of said one or more vertical bars corresponds to an interest rate scenario.
12 . A computer system as in claim 11 , wherein said interest rate scenario comprises at least one of: a forwards scenario; an X/Y mean reversion scenario; a Z year pattern assumption scenario; and an inverted yield curve scenario.
13 . A computer system as in claim 11 , wherein said chart comprises, for at least one of said one or more vertical bars that corresponds to an interest rate scenario, one or more vertical bars corresponding to a risk management product scenario.
14 . A computer system as in claim 13 , wherein said risk management product scenario comprises a scenario for one or more of: swaps, collars, caps, floors, swaptions, and forward starting swaps.
15 . A method comprising:
displaying on a computer screen a chart illustrating level and volatility of a projected accounting performance based on a plurality of possible future interest rates,
wherein said chart comprises a 50th percentile line, a 95th percentile line, and a 5th percentile line, and
wherein said 50th percentile line, 95th percentile line, and 5th percentile line represent probability distribution over time of said projected accounting performance.
16 . A method as in claim 15 , wherein said 95th percentile line and said 5th percentile line form a cone that models potential volatility of said projected accounting performance.
17 . A method as in claim 15 , wherein said projected accounting performance is projected accounting performance per quarter.
18 . A method as in claim 15 , wherein said projected accounting performance is based on at least one interest rate scenario.
19 . A method as in claim 18 , wherein said at least one interest rate scenario comprises one or more of: a forwards scenario; an X/Y mean reversion scenario; a Z year pattern assumption scenario; and an inverted yield curve scenario.
20 . A method as in claim 15 , wherein said accounting performance comprises at least one of: net interest margin, interest expense, interest income, and present value.
21 . A method as in claim 15 , wherein said accounting performance comprises a combination of two or more of: net interest margin, interest expense, interest income, and present value.
22 . A method comprising:
calculating output of an interest rate simulation model;
receiving said output; and
based on said output, displaying on a computer screen a median high-low chart comprising one or more vertical bars,
wherein each of said one or more vertical bars represents a probability distribution,
wherein each of said one or more vertical bars comprises a center dot, an uppermost dot, and a lowermost dot, and wherein said center dot represents an expected level of interest cost.
23 . A method as in claim 22 , wherein for each of said one or more vertical bars, said uppermost dot represents a 95% best case for projected accounting performance and said lowermost dot represents a 95% worst case for projected accounting performance.
24 . A method as in claim 23 , wherein said projected accounting performance comprises one or more of: net interest margin, interest expense, interest income, and present value.
25 . A method as in claim 22 , wherein at least one of said one or more vertical bars corresponds to an interest rate scenario.
26 . A method as in claim 25 , wherein said interest rate scenario comprises at least one of: a forwards scenario; an X/Y mean reversion scenario; a Z year pattern assumption scenario; and an inverted yield curve scenario.
27 . A method as in claim 26 , wherein said chart comprises, for at least one of said one or more vertical bars that corresponds to an interest rate scenario, one or more vertical bars corresponding to a risk management product scenario.
28 . A method as in claim 27 , wherein said risk management product scenario comprises a scenario for one or more of: swaps, collars, caps, floors, swaptions, and forward starting swaps.
29 . A computer system comprising:
a computer operable to display on a computer screen a chart illustrating level and volatility of a projected accounting performance based on a plurality of possible future interest rates,
wherein said chart comprises a 50th percentile line, a 95th percentile line, and a 5th percentile line, and
wherein said 50th percentile line, 95th percentile line, and 5th percentile line represent probability distribution over time of said projected accounting performance.
30 . A computer system as in claim 29 , wherein said 95th percentile line and said 5th percentile line form a cone that models potential volatility of said projected accounting performance.
31 . A computer system as in claim 29 , wherein said projected accounting performance is projected accounting performance per quarter.
32 . A computer system as in claim 29 , wherein said projected accounting performance is based on at least one interest rate scenario.
33 . A computer system as in claim 32 , wherein said at least one interest rate scenario comprises one or more of: a forwards scenario; an X/Y mean reversion scenario; a Z year pattern assumption scenario; and an inverted yield curve scenario.
34 . A computer system as in claim 29 , wherein said accounting performance comprises at least one of: net interest margin, interest expense, interest income, and present value.
35 . A computer system as in claim 29 , wherein said accounting performance comprises a combination of two or more of: net interest margin, interest expense, interest income, and present value.
36 . A computer system comprising a processor operable to software operable to:
calculate output of an interest rate simulation model;
receive said output; and
based on said output, display on a computer screen a median high-low chart comprising one or more vertical bars,
wherein each of said one or more vertical bars represents a probability distribution,
wherein each of said one or more vertical bars comprises a center dot, an uppermost dot, and a lowermost dot, and wherein said center dot represents an expected level of interest cost.
37 . A computer system as in claim 36 , wherein for each of said one or more vertical bars, said uppermost dot represents a 95% best case for projected accounting performance and said lowermost dot represents a 95% worst case for projected accounting performance.
38 . A computer system as in claim 37 , wherein said projected accounting performance comprises one or more of: net interest margin, interest expense, interest income, and present value.
39 . A computer system as in claim 36 , wherein at least one of said one or more vertical bars corresponds to an interest rate scenario.
40 . A computer system as in claim 39 , wherein said interest rate scenario comprises at least one of: a forwards scenario; an X/Y mean reversion scenario; a Z year pattern assumption scenario; and an inverted yield curve scenario.
41 . A computer system as in claim 39 , wherein said chart comprises, for at least one of said one or more vertical bars that corresponds to an interest rate scenario, one or more vertical bars corresponding to a risk management product scenario.
42 . A computer system as in claim 41 , wherein said risk management product scenario comprises a scenario for one or more of: swaps, collars, caps, floors, swaptions, and forward starting swaps.