My Oracle Support Banner

Modified Duration = 0 for Future Origination Date Instruments (Forward Starting) When Duration Non-Zero (Doc ID 2358375.1)

Last updated on FEBRUARY 09, 2018

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, when running an ALM Process with Market Value against forward starting instrument records with ORIGINATION_DATE > AS_OF_DATE, the MODIFIED_DURATION column is populated with '0' even though DURATION is a non-zero value.

For example, the following exists after running the process:

MODIFIED_DURATION on FSI_O_RESULT_MASTER: 0
DURATION on FSI_O_RESULT_MASTER: 690909.928

MODIFIED_DURATION_C on data table: 0
DURATION_C on data table: 2.167123

Note: YTM and CONVEXITY are also zero.

You expect Modified Duration to be equal to Duration when YTM = 0.

Cause

To view full details, sign in with your My Oracle Support account.

Don't have a My Oracle Support account? Click to get started!


In this Document
Symptoms
Cause
Solution
References


My Oracle Support provides customers with access to over a million knowledge articles and a vibrant support community of peers and Oracle experts.