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Incorrect FE 430 When using Holiday Calendar and Repricing Freq < Payment Freq (Doc ID 2362309.1)

Last updated on FEBRUARY 16, 2018

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.4 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

On : 8.0.4 version, Calculation Engine

After enabling Holiday Calendar found 430-Interest Cash Flow is not calculated correctly for the first scenario for an instrument record with reprice frequency < payment frequency (multiple repricing).


Expected Behavior
If all scenarios within Forecast Rates are the same, expect the same 430 Interest Cash Flow and 440 Accrued Interest for all scenarios.

Steps
1. Use a floating deal record with below specification:
    Reprice Frequency = 1 M,
    Payment Freq = 6 M
    Accrual Basis = 30/360
2. Setup 12 scenarios in Forecast Rates Assumption.
    IRC is 0 for all of them, expect 430-Interest Cash Flow and 440-Accrued Interest to be the same for all scenarios.
3. Run ALM Process without Holiday Calendar enabled and found all 12 scenarios have the same results for FE 430 and FE 440.
4. Enabled Holiday Calendar in the Application Preferences and re-run the process.
    Found for scenario 1, 430-Interest Cash Flow is different then the rest of scenarios.

Cause

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