Last updated on FEBRUARY 17, 2016
Applies to:Oracle Financial Services Funds Transfer Pricing - Version 5.5 to 6.0 [Release 5 to 6]
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
On Oracle Financial Services Asset Liability Management (ALM) 5.5, when attempting to validate the Liquidity Adjustment - Fixed Rate results, it appears that it is incorrect when choosing Duration, Average Life or repricing frequency, results are incorrect in case of "Range" lookup method, or no results in case of "Interpolation".
Correct output was obtained for FE Average Liquidity Adjustment Rate if Original Term is chosen as reference term.
When choosing Duration, Average Life or repricing frequency, results are incorrect in case of "Range" lookup method, or no results in case of "Interpolation".
In case of Duration and Average Life Reference Term, the TP_Duration and TP_AverageLife in the instrument table and they are null, indeed. Also, another question is that having in mind that we use TP Forecasting for New Business, TP_Duration and TP_AverageLife are read from instrument table level?
In case of Repricing Frequency of new business is 1 month, so TP adjustment for new business they expect it would be 10%, but it is 5 % in res_dtl.
Correct TP Adjustment results for all types of defined Liquidity Adjustments.
The issue can be reproduced at will with the following steps:
1. Define TP Adjustment rule with Duration, Average Life or Reprice Frequency as reference term
2. Run ALM Dynamic Deterministic Process using this TP Adjustment Rule
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