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Interpolated Rate Does Not Match Rate Used to Calculate FE 437 in FSI_O_PROCESS_CASH_FLOWS for FTP (Doc ID 2718827.1)

Last updated on OCTOBER 27, 2020

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version 8.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Funds Transfer Pricing (FTP)

Symptoms

When using the Zero Discount Factors transfer pricing method, the interpolated rate from the Interest Rate curve does not match the rate output to Financial Element (FE) 437 in FSI_O_PROCESS_CASH_FLOWS.

For example:

The Interest Rate Code (IRC) has the following values:
30 Days: 2.3699
60 Days: 2.4718

The first cash flow term (Next Payment Date - Last Payment Date) is 31 Days so you expect FE 437 to be calculated as follows using linear interpolation:

[[(y2 - y1)/(x2 - x1)] * 31] + [y1 - [(y2 - y1)/(x2 - x1)] * x1]
[[(60 - 30)/(2.4718 - 2.3699)] * 31] + [2.3699 - [(60 - 30)/(2.4718 - 2.3699)] * 60]

The result is 2.3733 but FE 437 has a value of 2.4045.

You do not understand why the calculated rate does not match FE 437.

Cause

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In this Document
Symptoms
Cause
Solution
References


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