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