Incorrect ALM FE 440 Accrued Interest Results With Holiday Calendar Enabled (Doc ID 2256981.1)

Last updated on APRIL 19, 2017

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)

Symptoms

On ALM 8.0.2, it appears that FE 440 Interest Accrual is incorrect for several time buckets if holiday calendar is enabled.

ACTUAL BEHAVIOR
Have defined and run an ALM static deterministic process. When checking the RES_DTL output we noticed that the financial element 440 is not generated correctly.
Interest Accrued is generated incorrectly when the Holiday Calendar is enabled meaning that for some time buckets the accrued interest is divided by 3. When disabling the Holiday Calendar, we obtained the expected results.

EXPECTED BEHAVIOR
Expect proper interest accrued with holiday calendar enabled.

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

1. Create a record as the one provided in the file called “Deal_Data.xlsx”
Note: REPRICE_FREQ=1D and PMT_FREQ=1M. This is a new functionality included in OFSAA 8.0 when the reprice frequency can be more granular than the payment frequency.
2. Create a behavior pattern as the one provided in the file called “BP_Details.docx”
3. Create a Holiday Calendar as the one provided in the file called “Holiday_Calendar_Details.docx”
4. In Application Preferences check “Enable Holiday Adjustments”
5. Create an IRC as the one provided in the file called “IRC_Details”
6. Create a Time Buckets structure as the one provided in the file called “Active_TB_Def.xls”
7. Create a Product Characteristics definition as the one provided in the file called “Prod_Char_Details.docx”
8. Create a forecast rates scenarios definition which can have only one scenario for the IRC mentioned below
The definition we used can be found in the file called “Forecast Rates Scenarios.docx”
9. Create an ALM static process by including in the source the record mentioned at point 1, the product characteristics mentioned at point 6 and the forecast rates scenarios definition mentioned at point 7
10. Check the results from RES_DTL output
The validation and some comments can be found in the file called “Results_with_HCal”
11. Go to Application Preferences and uncheck “Enable Holiday Adjustments”
12. Rerun the same process
13. Check the results from RES_DTL output
The validation and some comments can be found in the file called “Results_without_HCal”.

Cause

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