Abstract: An interest rate scenario generation system generates a plurality of paths through a binomial lattice arrangement to facilitate generation of a like plurality of interest rate scenarios. The system includes a plurality of processing elements each for performing processing operations, communications links for enabling each of the processing elements to transmit data with at least one other processing element, and a control arrangement. The configuration control element logically establishes the processing elements in a plurality of rows and columns, each row being associated with a path through the binomial lattice used in generating an interest rate scenario, and successive columns being associated with successive steps through the binomial lattice arrangement. The configuration control element configures the rows to enable the processing elements to communicate with one other processing element in the respective row.