This excerpt taken from the ICI 6-K filed Mar 21, 2007.
Quantitative disclosure about market risk
The analysis below presents the sensitivity of the market value or the fair value of the Groups financial instruments to selected changes in market rates and prices. The rates of change chosen reflect the Groups view of changes that are reasonably possible over a one-year period. Fair values are quoted values or, where these are not available, values obtained by discounting cash flows at market rates or using option valuation models. The fair values for interest rate risk are calculated by using a standard zero coupon discounted cash flow pricing model.