Hedge Ratio Result Has Negative Value When Running Effectiveness Testing on Particular Dates
Last updated on FEBRUARY 23, 2018
Applies to:Oracle Financial Services Hedge Management and IFRS Valuations - Version 8.0.5 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)
Oracle Financial Services Hedge Management and IFRS Valuations (HM/IFRS)
Hedge ratio's result is unexpected depending on run date.
A hedge definition has been created with a bond as hedged instrument and a bond option as a hedging instrument.
While running the same effectiveness test on 2 different dates, one result in fsi_m_hedge_eff_test_summary received a negative value, not a positive one as expected.
The result of effectiveness testing should be positive regardless of date.
Following setup has been used in effectiveness testing:
- Measurement Methodology: Retrospective
- Base value to be used for Options: Fair Value
- Hedge Ratio
- Computation Type: Net
- Methodology: Dollar Offset
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