ALM Process with Implied Forward Forecast Rates Fails with Error on CubicSplineInterpolater (Doc ID 2206070.1)

Last updated on NOVEMBER 23, 2016

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

In Oracle Financial Services Asset Liability Management (ALM) 8.0.x, when you run an ALM Static Deterministic process that includes Forecast Rates with an "Implied Forward" definition, the process ends in a status of 'Failed'.  The following is the last SQL in the ofsrm.xxxxxx.log from $FIC_DB_HOME/log/FusionApps:

Module Logging OFS Access module data: select
select FSI_CURRENCIES_V.iso_currency_cd,
FSI_CURRENCIES_V.reporting_flg, nvl(reference_irc, - 1) as
ref_irc, FSI_CURRENCIES_V.currency_name
from FSI_CURRENCIES_V
where FSI_CURRENCIES_V.currency_status_cd = 1.00000

Checking the nohup.out or similar file with output from the agentstartup.sh in $FIC_DB_HOME/bin, you find the following error for the process:

ProcSysID = 204044
ofsrm: MCRGen/interpol.cpp:609: static void CubicSplineInterpolater::Permute(int, int, int, DMatrix<double>&, DVector<double>&): Assertion 'Row <= DownRow' failed.
Running Oracle ALM, Process Rule: 204044 Engine started execution

In the Forecast Rates definition, you use a Forecast Rate Method = Implied Forward for at least one scenario.  If you change the Implied Forward method to something else, the error does not occur.  You do not understand why this Forecast Method triggers the error above.

Cause

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