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Is There a Way to Create an IRC With Weighted Average Rates Based on an Existing IRC? (Doc ID 2762054.1)

Last updated on MARCH 26, 2021

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version 8.0.4 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)

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


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