Wrong Valuation Curve Used for Stochastic Dynamic Process (Doc ID 1340828.1)

Last updated on JULY 22, 2011

Applies to:

Oracle Financial Services Asset Liability Management - Version: 5.5 and later   [Release: 5 and later ]
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

On : 5.5 version, Calculation Engine

When attempting to run dynamic Stochastic Process for a product which has EUR currency, the result shows that the process uses the Reporting Currency (USD) Valuation Curve instead.

Expected Behavior:
Expect the process to use EUR valuation curve as setup in the Valuation Curve.


Steps
1. Create a Valuation Curve and define relationship for an Interest Rate Code defined in the instrument record, which is EUR in this example.

2. Run Stochastic Dynamic Process for the product.

3. Results shows the Valuation Curve used is the Reporting Currency Valuation Curve (USD).
FSI_INTEREST_RATES_AUDIT contains only the USD Valuation Curve.

Cause

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