If grid points of a yield curve are to be omitted as risk factors, those adjacent grid points included in the risk hierarchy share proportionally the risk of those grid points that were omitted. This is achieved by extrapolating the market data changes (shifts) in the gridpoints that remain in the risk hierarchy linear to the adjacent risk factors. Grid points that lie between these risk factors but which are not contained in the risk hierarchy are taken into account proportionally by the shift on one risk factor.

Outside the first defined grid point and the last defined grid point shifts are extrapolated with a partial derivation of zero.