Hi All,
I am trying to generate Interest rate related scenarios for stress testing. I use "Import variation from ascii" option to import the changes. For some of the scenarios the interest rate turns negative(stress scenarios say for example -10% movement from current interest rate). I would like the change to be floored to zero (e.g. if the market rate is 4.5% and my scenario is -5.0% then the applied scenario should be 0% i.e. max(0,market rate + scenario)). I have tried the Floor option in Var component analysis part but it did not serve the purpose. Can anybody suggest the best way forward in this case.
Thanks
NP