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Moving Average Hybrid Yield Curve Batch Generates Rates for Incorrect Time Period (Doc ID 2501523.1)

Last updated on JANUARY 24, 2020

Applies to:

Oracle Financial Services Analytical Applications Infrastructure - Version 8.0.0 and later
Oracle Financial Services Funds Transfer Pricing - Version 8.0.0 and later
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)


Symptoms

In Oracle Financial Services Funds Transfer Pricing (FTP) 8.0.x, in Rate Management, after creating a Hybrid curve with a type of "Moving Average", when running the program FN_FSI_IRC_HYBRID_SCHEDULER multiple times to generate rates, the program is not using the correct Time Period to calculate the rates.  When the program is run the first time, it uses the correct Moving Average Term to generate the rates.  However, for subsequent runs, it is using the wrong term period to calculate the moving average.

For example, the Hybrid curve is defined with "Moving Average Term" = 7 Years.  The initial run uses the full 7 Year term to generate rates.  But for subsequent runs, the calculation only uses a Moving Average term of 1 Month from the LAST_EXECUTION_DATE on FSI_IRCS to the current execution date.

You expect FN_FSI_IRC_HYBRID_SCHEDULER to calculate the 7 year moving average rate for each execution of the program, not just for the initial execution.

After checking further it appears that the procedure is generating incorrect average rates using Hybrid Rate functionality, for all tenors two years and above.
However, for shorter tenors like 1 D, 7D, 1M, 3M, 6M and 12M all the rates are generating perfectly fine.

For example, rates a generated for the following terms:

1 D - VALIDATED SUCCESSFULLY
7 D - VALIDATED SUCCESSFULLY
1 M - VALIDATED SUCCESSFULLY
3 M - VALIDATED SUCCESSFULLY
6 M - VALIDATED SUCCESSFULLY
12 M - VALIDATED SUCCESSFULLY
24 M - WRONG
36 M - WRONG

The moving average calculate for 24M and 36M does not match the result generated by the Hybrid engine.

For example, for 24 Months, there are 730 date rows used to calculate the 24M moving average.

SUM of Rates = 1762.0579 / 730 = 2.413777945

However, the result in FSI_IRC_RATE_HIST = 2.364082.

Cause

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In this Document
Symptoms
Cause
Solution
References


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