Methodology & assumptions
RatesLab separates quoted market rates, model assumptions and scenario outputs so users can see what is calculated versus what is assumed.
Cash-to-Capital: carry
For most products:
Annual carry ≈ Principal × Annualized Rate
IBKR cash uses the prototype tiering rule stored in Excel rather than applying the headline rate to the full balance.
Cash-to-Capital: MTM
The educational rate-risk approximation is:
% Price Change ≈ -Duration × Change in Yield MTM ≈ -Duration × Principal × ΔYield
This is a simplified duration approximation, not full bond repricing.
Overlay scenario scaling
The user-supplied overlay scenario P&Ls are referenced to $50m and scaled to the shared site capital:
Capital Scale = Site Capital / $50,000,000
Maximum drawdown slider
The source scenario P&Ls and returns are calibrated at a 4.0% reference drawdown. The slider is a sizing budget, not predicted realized drawdown:
Overlay Size Multiplier = Selected Max DD / 4.0%
T-bill capital remains on the full selected capital amount while the overlay is resized. Option P&L, total P&L, ROC and annualized return are recalculated dynamically for the selected drawdown budget.
Single source of truth
Both simulators read /data/RatesLab_Model.xlsx. Update product rates and duration assumptions in Cash_To_Capital; update bank/Fed scenarios in Overlay_Scenarios; update defaults in Config.
Download Excel model