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Questions on Market Value Calculations for ALM (Doc ID 1289349.1)

Last updated on MARCH 12, 2021

Applies to:

Oracle Financial Services Asset Liability Management - Version 5.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications Infrastructure (OFSAAI) - Version 7.2
Oracle Financial Services Analytical Applications (OFSAA) - Version 5.2

Goal

Several questions regarding Oracle Asset Liability Management (ALM) Market Value calculations in OFSAA:

Question 1: What does market_value_clean represent in fsi_o_result_master?
Question 2: Why keep dirty price (market_value) if calculating clean price (market_value_clean)?
Question 3: What is the weighting factor for duration?
Question 4:  In fsi_o_result_master, does the modified_duration represent the so-called modified duration (duration weighted by market value)? 

Solution

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In this Document
Goal
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