Strips Generated After Rebalance of Replicating Pattern Have Wrong Origination Date in FTP
Last updated on JULY 31, 2017
Applies to:Oracle Financial Services Funds Transfer Pricing - Version 6.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Funds Transfer Pricing (FTP)
On FTP 6.0, Strips generated after rebalance of replicating pattern have wrong origination date. After rolling a replicating pattern, when you do a rebalance it is expected for the new strips after rebalance to take origination date of enabled strips AFTER rolling. However, on rebalancing the origination date of strips generated is based on original strips (pre-roll).
Steps to reproduce:
1) Use two strips each of 1 day tenor originating on 16th & 17th respectively
2) Do a roll on 17th & 18th and as expected two new strips of same tenor were generated (original issue where it does not roll to revised core tenor)
3) Then on 18th did a rebalance, whereby reduced the core by $1000.
4) As expected five new strips were created of -200 each for rebalance.
However, the new strips corresponding to the rolled strips above use origination date of 16th i.e. of the matured ones rather than the new rolled ones. So whilst maturity date is correct the tenor is extended.
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