ALM Stochastic Process Fails When the Long Run Rate is Zero
Last updated on JANUARY 19, 2016
Applies to:Oracle Financial Services Asset Liability Management - Version 5.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
In Oracle Financial Services Asset Liability Management (ALM), a Static Stochastic process fails when the Interest Rate Code used as the Valuation Curve in the Stochastic Rate Indexing definition has a Long Run Rate = 0 in the "Parameters" screen in Rate Management. The stochastic process uses the "Vasicek" term structure model. You expect the process to run successfully with a Long Run Rate = 0 because the ALM User Guide states that 0 is a valid value.
In Chapter 10 "OFSAA Rate Management", the guide states that the valid range of values for Long Run Rate are 0 to 999.9999% and the default value is 0. See below:
However, the ALM Process fails when Long Run Rate = 0 and the following message is output to FSI_PROCESS_ERRORS:
Long run rate 0 is out of range: IRC 1, method Vasicek, date 7/13/12
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