Is There a Way to Create an IRC With Weighted Average Rates Based on an Existing IRC?
(Doc ID 2762054.1)
Last updated on JULY 17, 2023
Applies to:
Oracle Financial Services Funds Transfer Pricing - Version 8.0.4 to 8.1.2 [Release 8 to 8.1]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)
Goal
Is it possible to create a weighted average for 12 months from an BASE Curve in Interest Rates Code (IRC) Rates of OFSAA?
Currently have an base existing curve like below 12M Tenor. The requirement is to have an weighted 12 months IRC on the same and use that in the FTP Methods.
Is this currently possible?
| 1/31/2020 | 2/28/2020 | 3/31/2020 | 4/30/2020 | 5/31/2020 | 6/30/2020 | 7/31/2020 | 8/31/2020 | 9/30/2020 | 10/31/2020 | 11/30/2020 | 12/31/2020 | Sum weighted values | |||
| 12M tenor | 1.44 | 1.02 | 0.16 | 0.17 | 0.17 | 0.15 | 0.11 | 0.12 | 0.12 | 0.12 | 0.11 | 0.11 | |||
| weights | 27.04 | 17.17 | 3.11 | 6.98 | 12.25 | 9.98 | 1.13 | 5.54 | 4.63 | 3.18 | 2.22 | 6.77 | 100 | % | Monthly basis rates |
| weighted 12 M Tenor | 0.39 | 0.18 | 0.00 | 0.01 | 0.02 | 0.01 | 0.00 | 0.01 | 0.01 | 0.00 | 0.00 | 0.01 | 0.64 | % | Desired value ie.. Sumproduct of 12M tenor and weighted value arrays |
Solution
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In this Document
| Goal |
| Solution |
| References |