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Why is DV01 Zero in FSI_O_RESULT_MASTER But DV01_C is Populated on the Instrument Table? (Doc ID 2601787.1)

Last updated on NOVEMBER 08, 2019

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)

Goal

After running an ALM Process that includes Market Value, why is DV01 = 0 in FSI_O_RESULT_MASTER but DV01_C is populated on the instrument table?

Additionally, you can successfully validate the DV01_C value using the formula: DV01 = [(0.01 * Modified Duration) * Total Market Value] * 0.01

You do not understand why you get a result in DV01_C when DV01 is zero in FSI_O_RESULT_MASTER.

Solution

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In this Document
Goal
Solution
References


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