How To Validate FTP Rate For Term Deposits Using Cash Flow Discount Factor Method (Doc ID 1369116.1)

Last updated on MARCH 08, 2017

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version: 5.2.2 to 5.6 - Release: 5 to 5
Information in this document applies to any platform.

Goal

How is Funds Transfer Pricing rate is being calculated when term is between points?

When attempting to validate FTP rate for term deposits using the cash flow discount factor method, users are unable to validate when the term lies between two tenor points. There is minor difference in TP Rate results.

Validation Steps:
1. Replicate exactly the numbers being calculated by Oracle for Term Deposits that have a term that exactly matches the tenor point on the interest rate curve.
2. Create another TP Process and now process record where the term lies between two tenor points, the answer differs from the Oracle rate.
For example, interest rates in the table at tenor point 1D, 30D, .... ,180D, 365D etc. If using a 365 day term deposit that pays interest at maturity, the results match exactly the FTP rate calculated by Oracle. However, if using a term deposit with a term of 275 days, the result is not exactly as FTP result; close but not exact.

Solution

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