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How To Calculate Duration(FE 720) and Modified duration(FE 725) at Bucket/Dimension Level (Doc ID 2832522.1)

Last updated on JANUARY 13, 2022

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Asset Liability Management - ALM
Oracle Financial Services Analytical Applications Infrastructure - AAI
Oracle Financial Services Enterprise Performance Management - EPM
Oracle Financial Services Analytical Applications - OFSAA
Financial Element - FE

Goal

Question 1. In Interest Rate Sensitivity (IRS) statement, the cashflows will be populated into different buckets and ALM COA as created in the system. Duration(FE 720) and Modified duration(FE 725) will be calculated as per ALM COA.
Is there any option to calculate Duration and Modified Duration as per the created buckets wise (i.e. for the consolidated amounts populated in different buckets)?
 
Question 2. Calculating the Duration and Modified Duration at record  level is not feasible with the daily regulatory timelines. Is there any way that Duration and Modified Duration is calculated at dimension level? If yes, please share the details of the Table where the data is stored.
 

Solution

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Goal
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