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Implied Forward Rates Incorrectly Generated as Zero for Several Tenors (Doc ID 2743243.1)

Last updated on JANUARY 13, 2021

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version 8.0.5 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Funds Transfer Pricing (FTP)
Oracle Financial Services Enterprise Performance Management (EPM)

Symptoms

On FTP 8.0.5, Implied Forward Rates are inconsistently calculated and have values incorrectly generated as 0 for several tenors. With FORWARD TRANSFER RATE selected within the TP Process, there seem to be inconsistent values in the implied forward rates calculated. Several implied forward rates are calculated equal to 0. From the FSI_O_FTP_IMP_FWD_RATES_AUDIT the terms between 1M and 9M are incorrectly generated as 0:

PROCESS_ID AS_OF_DATE ID_NUMBER IDENTITY_CODE EFFECTIVE_DATE INTEREST_RATE_CD TERM TERM_MULT RATE
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 1 D 0.09
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 7 D 0.104999
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 14 D 0.114998
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 21 D 0.129995
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 1 M 0
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 2 M 0
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 3 M 0
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 4 M 0
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 5 M 0
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 6 M 0
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 9 M 0
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 1 Y 1.085362
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 2 Y 1.085362
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 3 Y 1.085362
204047 10-Nov-20 2222601 20201110 10-Nov-21 19 4 Y 1.085362

Cause

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In this Document
Symptoms
Cause
Solution
References


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