Short Point Rates Incorrect for Yield Curve Twist Method in Forecast Rates View
Last updated on OCTOBER 04, 2012
Applies to:Oracle Financial Services Asset Liability Management - Version 5.6 to 6.0 [Release 5 to 6]
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
In Oracle Financial Services Asset Liability Management (ALM) 5.6 or 6.0, when you define the Forecast Rates for a yield curve using the Forecast Method "Yield Curve Twist", the rate shock is not included in the "Short Point" term point or in term points in between the Short Point and Anchor Point. The Forecasted Rate is incorrect for this tenor.
For example, you define the Yield Curve Twist as follows:
Anchor Point: 3 Months, Shock Amount: 0.000000
Short Point: 1 Day, Shock Amount: 0.050000
Long Point: 1 Year, Shock Amount: -0.050000
However, when you view the Forecast Rates for this method, the following is shown:
|Bucket||Start Date||End Date||1 Days||1 Months||3 Months||6 Months||1 Year|
The Short Point of 1 Day does not have a 0.05 shock up. Instead, it has the same rate as the Anchor Point 3 Month term point. The "Long Point" rate is correct.
Steps to Reproduce:
- Go to Asset Liability Management
- Go to Assumption Specification > Forecast Rates
- Create a Forecast Rate
- Define an IRC with Forecast Method = Yield Curve Twist
- View the Forecasted Rates
The Short Point rate is wrong.
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