Forecast Rates Implied Forward Audit Rates FSI_INTEREST_RATES_AUDIT for IRC With One Term Point
Last updated on OCTOBER 25, 2017
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)
Oracle Financial Services Asset Liability Management (ALM)
On ALM 8.0.2, when using Implied Forward method in a Forecast Rates rule with a single term Interest Rate Code (IRC), the Audit output (FSI_INTEREST_RATES_AUDIT) does not have expected values.
Have defined one Interest Rate Code having only one tenor (1D). In the Forecast Rates assumption, the business specification for “Scenario 1” was to define “Implied Forward” for all curves.
After the batch was Successful, when checking the Audit output (FSI_INTEREST_RATES_AUDIT), the rates are not the same expected values.
FSI_INTEREST_RATES_AUDIT shows strange forecasted rates under this scenario for this curve having only one point. For example, 4.43795% is output for BUCKET 37 when there is only one point in the curve which has base rate=4%?
Business user expects to see the forecasted value as slightly increasing starting from the base rate (4%) since the IRC contains only one tenor (1 Day).
The issue can be reproduced at will with the following steps:
1. Create one IRC as indicated in “IRC.docx”
2. Create one forecast rates scenario assumption as indicated in “Forecast_Rates.docx”
3. Run an ALM process which contains Audit for this rate
4. Check Audit output
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