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Book Value/Market Value As Of The Future Record Date For Bond (Doc ID 2735122.1)

Last updated on DECEMBER 10, 2020

Applies to:

Oracle Financial Services Liquidity Risk Measurement and Management - Version 8.0.7 and later
Information in this document applies to any platform.

Goal

Does the Forward LCR function have a function to calculate the market value of a bond statement as of the future record date? ALM Process has a function to calculate the market price of the reference date using the spot rate curve and update it to the Market Value of FSID. How to calculate the market value as of the future reference date in the same way as ALM?
 

Solution

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Goal
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