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ALM Holiday Calendar Modified Following Business Day is not Shifting Correctly for Business Days for FE 430 Interest Income (Doc ID 2245400.1)

Last updated on APRIL 29, 2021

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)


On ALM 8.0.2, it appears that Holiday Calendar Modified Following Business Day is not working correctly and adjusting the payments.

From results, it appears this logic is respected for the payment dates from October but when the payment is in December, instead of shifting the date to the first previous business date the system uses the following business date which is in January next year.

When the payment date is on a holiday date the system should shift the payment date to the next following business date BUT in the case when the next following business date is in the next month the system should take the first previous business day in order to stay within the same month.

The issue can be reproduced at will with the following steps:

1. Load instrument record
2. Create payment schedule as the one provided in “Payment_Schedule”
3. Create holiday calendar definition as the provided in “Holiday_Calendar” with December holiday dates
Note: Run the holiday calendar and enable “Holiday Calendar adjustments” in Application Preferences
4. Create Product Characteristics assumption. In “All Business” tab include Holiday Calendar parameters as:
Holiday Calendar: the definition created in the previous step
Rolling Convention: Modified Business Date
Interest Calculation Logic: Shift Payment Dates
5. Define a static deterministic ALM process and enable audit.
6. Check FSI_O_PROCESS_CASHFLOWS by filtering for example FINANCIAL_ELEM_ID=430.
You notice the payments dates are incorrect:


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