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Interest Rate Up-Shocked Rate

Calculate the Up-Shocked Rate instantly.

Up-Shocked Rate

0.04

1Step 1

Minimum Upward Shift

Minimum Upward Shift=Minimum Upward Shift (bps)10000\textit{Minimum Upward Shift} = \frac{\textit{Minimum Upward Shift (bps)}}{10000}
2Step 2

Proportional Up-Shocked Rate

Proportional Up-Shocked Rate=Base Risk-Free Rate×1+Upward Shock Factor\textit{Proportional Up-Shocked Rate} = \textit{Base Risk-Free Rate} \times 1 + \textit{Upward Shock Factor}
3Step 3

Minimum-Shift Rate

Minimum-Shift Rate=Base Risk-Free Rate+Minimum Upward Shift\textit{Minimum-Shift Rate} = \textit{Base Risk-Free Rate} + \textit{Minimum Upward Shift}
4Step 4

Minimum Shift Applied Flag (0/1)

Minimum Shift Applied Flag (0/1)=gte⁡(Minimum-Shift Rate,Proportional Up-Shocked Rate)\textit{Minimum Shift Applied Flag (0/1)} = \operatorname{gte}\left(\textit{Minimum-Shift Rate}, \textit{Proportional Up-Shocked Rate}\right)
5Step 5

Up-Shocked Rate

Up-Shocked Rate=max⁡(Proportional Up-Shocked Rate,Minimum-Shift Rate)\textit{Up-Shocked Rate} = \max(\textit{Proportional Up-Shocked Rate}, \textit{Minimum-Shift Rate})
6Step 6

Total Upward Shift

Total Upward Shift=Up-Shocked Rate−Base Risk-Free Rate\textit{Total Upward Shift} = \textit{Up-Shocked Rate} - \textit{Base Risk-Free Rate}
7Step 7

Total Upward Shift (bps)

Total Upward Shift (bps)=Total Upward Shift×10000\textit{Total Upward Shift (bps)} = \textit{Total Upward Shift} \times 10000

Understand the Interest Rate Up-Shocked Rate

Overview

This calculator derives one upward stressed risk-free rate from a base rate, an upward shock factor, and the minimum absolute upward shift.[1]

Important Notes

  • The minimum-shift input is editable for sensitivity analysis and seeded to the current Article 166-style `+100 bps` rule.
  • The output is a curve-point building block; a compliant full engine still needs every relevant maturity and currency.

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 166 (Increase in the term structure of interest rates) - EIOPA

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.