Discount Curve Management

Multiple curve support enables the simultaneous management of yield curves for different portfolios, currencies, and measurement purposes. Currency-specific rates ensure that cash flows in each currency are discounted using the appropriate term structure, with full support for cross-currency portfolios. Historical curve versioning maintains a complete archive of every curve version used in reporting, enabling retrospective analysis and ensuring that locked-in rates from prior periods remain accessible.

Locked-in versus current rate application is managed automatically based on the measurement model and portfolio configuration. General Measurement Model contracts use current discount rates at each reporting date, while reinsurance contracts held may require locked-in rates from contract inception. The platform applies these rules consistently across all cash flows, with cash-flow specific rate selection ensuring that each projection uses the correct curve point. Curve validation checks identify anomalies such as negative rates, inversions, or gaps in the term structure before they affect calculations.