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How Does OFSAA ALM Calculate Implied Forward Rates? (Doc ID 2636816.1)

Last updated on FEBRUARY 11, 2020

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.0 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)

Goal

Question 1: What is the formula used by OFSAA ALM to calculate Forward Rates through Implied Forward Rates functionality (required configuration was done in Forecast Rate Scenarios)?
 
Question 2: Do Cubic Spline Coefficients (a,b,c & d) change with different spot curve (different term and rates)?

Question 3. Given curve inputs are shared in attached worksheet but computed Implied Rates (lower bound rates) are actually lower than respective Spot rates. Please comment.
 
Question 4: How are the Cubic Spline Coefficients values (a,b, c & d) computed in engine with respect to different Interest Rate Curves?

Question 5. Where are the Cubic Spline Coefficients values getting stored in Product?

Question 6. Does Time Bucket have any role in calculation of Cubic Spline Coefficients?
 
Question 7. Please provide the logic of Cubic Spline Coefficients when different IRCs with various dates are used.

Question 8. Are there other used formulas in explained Implied Forward Rates?

Solution

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In this Document
Goal
Solution
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