ALM Deterministic Process Incorrect FE 430 Interest Cash Flow Cumulation For Scenario > 1 When Holiday Calendar is Enabled (Doc ID 2279456.1)

Last updated on JUNE 22, 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 430 interest cash flow is incorrectly generated on a cumulative basis for all the scenarios excepting Scenario 1 when Holiday Calendar is enabled.

ACTUAL BEHAVIOR
Ran an ALM static deterministic process and when we checked the output (RES_DTL_xxxxxx) and detailed audit table (FSI_O_PROCESS_CASH_FLOWS) and noticed that the Financial Element 430 (Interest Cash Flow) is computed correctly only for Scenario 1 while for the rest of them (irrespective of the method) the results are calculated on a cumulative basis:

Payment Date 1: Financial Element 430 (1)
Payment Date 2: Financial Element 430 (2) = Interest Cash Flow Payment Date 1 + Interest Cash Flow Payment 2
Etc

Noticed that this behavior occurs only when Holiday Calendar Adjustments are enabled. When disabling the Holiday Calendar Adjustments, the results are correctly computed for all the scenarios.

EXPECTED BEHAVIOR
FE 430 should not be calculated in cumulative basis for additional forecast scenarios.

The issue can be reproduced at will with the following steps:
1. Create source record as the one provided in the file
2. Create an IRC as the one provided in the file
3. Create a forecast rates scenario definition
4. Create holiday calendar
Note 1: after the holiday is defined run the definition so the future holidays are generated
Note 2: in Application Preferences make sure that “Enable Holiday Calendar Adjustments” option is checked
5. Create Product Characteristics
6. Create an ALM static deterministic process as the one presented in the file
7. Run the process and check the outputs
- RES_DTL_xxxxxx
- FSI_O_PROCESS_CASH_FLOWS
- FSI_INTEREST_RATES_AUDIT
8. Go to Application Preferences and disable Holiday Calendar Adjustment (uncheck the option).
9. Rerun the process and check the outputs

Cause

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