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

Last updated on MAY 10, 2023

Applies to:

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

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