ALM Incorrect Results When Defining Behavior Pattern Rule at Product Node Level (Doc ID 2830114.1)

Last updated on MARCH 16, 2023

Applies to:

Symptoms

On ALM 8.1.1.1, it appears that Behavior Pattern Rule defined at product node level does not work. This only works after defining at the leaf level.

Checked the user guide on behavior pattern rules and found that the methodology can be defined as usual at any level of the hierarchical product dimension, the nodes allowing inheritance from parent nodes to child nodes. This specification is not applied in this case.

The issue can be reproduced at will with the following steps:
1. Ran an ALM static deterministic process with three BP rule definitions assigned in a Forecast Rates definition with three scenarios, 1 BP rule per different scenario.
2. Defined the BP rule at node product level
3. Check the output ==> runoffs output is not generated as expected, no impact in the cash flow (CF) results.
4. Run a new ALM test by defining two of the BP rules at product-ccy level, not at node, and re-run the process.
5. CFs results for the last test were as follows: for the 1st forecast rates scenario (with BP rule defined at node level) results were incorrect (no change) and the other two scenarios with BP rule defined at leaf level generated correct results (according to the BP allocated to each scenario). BP from deal level is different than the 3 BPs assigned in the BP rules.

Changes

Cause

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