Clarification on Market Value Calculations in Hedge Management (HM) (Doc ID 2150683.1)

Last updated on JUNE 17, 2016

Applies to:

Oracle Financial Services Hedge Management and IFRS Valuations - Version 6.1 and later
Information in this document applies to any platform.
Oracle Financial Services Hedge Management and IFRS Valuations (HM/IFRS)

Goal

Currently executing the Hedge Management Valuation process for Interest Rate Swaps Contracts. The valuation process definition is created using the attached swaps data(fsi_d_swaps). The market value (MV) calculated by the Cash Flow Engine (CFE) in the FSI_O_FAIR_VALUE table seem low compared to the market value FSI_O_RESULT_MASTER.  Please verify the results and confirm the formula/expression used to calculate market value.

Solution

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