Abstract
This paper suggests a possible flexible solution to the time and resource problems of running a large number of stochastic interest rate scenarios, that is, selecting a representative subset. Each interest rate scenario consists of 30 future spot yield curves, in which 12 points are specified on each curve. The distribution of the scenarios is approximated by the subset, and each scenario in the subset has equal weight. The method is independent of the interest rate generator used. Modeling research may be more similar to experimental or laboratory science than to a mathematical science. This paper presents a new tool to evaluate.
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