Behavior Pattern Replicating Portfolio Date Roll Logic Incorrect with Holiday Calendar
(Doc ID 1498390.1)
Last updated on OCTOBER 18, 2012
Applies to:Oracle Financial Services Funds Transfer Pricing - Version 5.6 and later
Oracle Financial Services Asset Liability Management - Version 5.6 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
In Oracle Financial Services Funds Transfer Pricing (FTP) or Asset Liability Management (ALM) 5.6, in a Behavior Pattern, the Replicating Portfolio Date Roll logic is wrong when using a Holiday Calendar and the convention "Following business day". This results in the creation of incorrect Maturity Dates. After selecting the "Replicating Portfolio" check box in the Behavior Pattern, you selected an existing Holiday Calendar and set Holiday Rolling Convention to "Following business day". When you review the portfolio for the current As of Date, the results look correct. However, when you advance the As of Date and then select "Roll Portfolio" and go into "View Portfolio" to view the results, not all of the Maturity Dates are correct based on the Holiday Calendar.
Steps to Reproduce:
1. Go to Master Maintenance > Holiday Calendar
2. Create a Holiday Calendar as follows:
- Select weekend days (Ex. Saturday and Sunday)
- Input some holidays
3. Generate the calendar
4. Go to Funds Transfer Pricing
5. Go to FTP Maintenance > Patterns > Behavior Patterns
6. Create a Behavior Pattern with the following details:
- Select Non-maturity
- Select Replicating Portfolio
- Set default roll tenor to 1D
- Create a core balance
7. Save the Behavior Pattern
8. Re-open the Behavior Pattern
9. Generate the portfolio
10. Check all the core strips (strip_type 101) and verify they are correct
11. Increment "As of Date" by 1 day in Application Preferences
12. Edit the Behavior Pattern
13. Select "Roll Portfolio" button
14. Save the Behavior Pattern
The resulting Portfolio data has incorrect Maturity Dates for the new As of Date.
Note: The Portfolio data is stored in FSI_M_TP_REPLICATING_PORTFOLIO.
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