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State the scenario as a full maturity map
An analyst supplies three annual spot rates and changes only the year-two rate. This is a local maturity scenario, not a parallel shift. The payment schedule remains fixed in this illustration, so only factors at changed dates should change.
Trace which payments use the changed input
A year-two payment uses the year-two spot factor directly. A year-three spot factor is specified independently in this model. Reconstructing forward rates may change several implied forwards even though only one spot node was changed. Those are alternative representations of the same new curve.
Separate schedule differences from rate differences
| Layer | Hold fixed or specify |
|---|---|
| Payments | Amounts, dates and assumed payment certainty |
| Curve | Each changed rate and convention |
| Missing dates | Interpolation rule if required |
| Output | Base PV, scenario PV and their difference |
Use the output as a conditional result
A curve scenario is not automatically a probability forecast. The result describes the stated cash flows under two factor maps. If a callable instrument changes expected payments when rates move, retaining a fixed schedule no longer represents every relevant response.