ALM Convexity and YTM Fields are Populating With Zero in Consolidation Master Table and Duration / Modified Duration are Negative or Zero (Doc ID 2169024.1)

Last updated on AUGUST 04, 2016

Applies to:

Oracle Financial Services Asset Liability Management - Version 6.0.3 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

On Oracle Financial Services Asset Liability Management (ALM) 6.0.3, several Convexity, Yield to Maturity (YTM) and modified duration fields are populating with zero for non amortizing (AMRT_TYPE_CD = 700) instruments.  Other instruments are generating negative duration and modified duration results.


ACTUAL BEHAVIOR
Columns like Convexity, YTM and Modified Duration are populating as zero in the FSI_O_CONSOLIDATED_MASTER table while it has values in Result Master.  Other instruments are generating duration and modified duration either with negative or zero values.

EXPECTED BEHAVIOR
Expect correct values generated in consolidated master table.

The issue can be reproduced at will with the following steps:
1. Create a Discount rule with Discount Method as Forecast Remaining term.
2. Create a Static Deterministic Process and map the above Discount Rule to it.
3. Map a instrument record which is not same as reporting currency.
4. Assign exchange rate to it (Used Currency in Instrument Record to Reporting Currency in the process),.
5. Choose Product/Currency as a combination in Output Preferences in the process screen.
6. Execute the process and validate the output tables - Result Master and Consolidated Master table.

Cause

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