How to Model Derivatives and Currency Swaps in ALM

(Doc ID 1604234.1)

Last updated on MAY 18, 2017

Applies to:

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)
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Asset Liability Management Analytics (ALMBI)

Goal

How to model derivatives swaps, currency swaps and outright forward deals in ALM? 

Outright forward deals should have only one leg buy and sell on specific future date.  In the case of currency swaps, there will be two legs:
- Buy and sale on one date
- Sell and buy on different date

Solution

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