ALM Process Fails When Using Embedded Option Functionality in Calculation Elements as Cash Flow to "First Expiry Date"

(Doc ID 2385059.1)

Last updated on MAY 04, 2018

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.5 and later
Information in this document applies to any platform.
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)

Symptoms

ALM process fails when using Embedded Option Functionality in Calculation Elements > Embedded Option Decision > Cash Flow to "First Expiry Date".

Processing is successful if selecting Calculation Elements > Embedded Option Decision > Cash Flow to Maturity.

FSI_D_EMBEDDED_OPTIONS, FSI_D_EMBEDDED_OPTIONS_SCH and FSI_D_BORROWINGS tables have been populated prior to running it.

Records are getting processed and are generating FE 210 on "First Expiry Date" if Strike Type CD = 2 (Rate) in FSI_D_EMBEDDED_OPTIONS table, but if Strike Type CD = 1 (Price), records are not getting processed.  The following error is thrown.

ERROR

ORA-01438: value larger than specified

STEPS TO REPRODUCE

The issue can be reproduced at will with the following steps:

  1. Define ALM Process with Calculation Elements > Embedded Option Decision > Cashflow to First Expiry Date
  2. Populate Embedded Option, Embedded Option Sch and Borrowing tables.
  3. Run process

Changes

 

Cause

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