Fcast Rate Is Not Interpolated Correctly In LRS v8.1
(Doc ID 2746073.1)
Last updated on JANUARY 31, 2021
Applies to:Oracle Financial Services Liquidity Risk Measurement and Management - Version 8.0.7 and later
Information in this document applies to any platform.
While executing T2T FORWARD_RATE_POPULATION, the interpolation result in FCT_FCST_EXCHANGE_RATES is incorrect in LRS v8.1
For example, for a curve which has term 1D, 7D, 14D, 30D., the interpolation result for 8D has the same value as 7D, the result for 15D has the same value as 14D, and so on.
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