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How To Validate Market Value Calculation Using Discount Method: Forecast Original/Remaining Terms? (Doc ID 2834342.1)

Last updated on MARCH 04, 2022

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.7.2.0 and later
Information in this document applies to any platform.
Oracle Financial Services Asset Liability Management - ALM
Oracle Financial Services Analytical Applications Infrastructure - OFSAAI
Oracle Financial Services Enterprise Performance Management - EPM
Financial Element - FE
Yield to Maturity - YTM

Goal

How to validate Market value calculation using Discount method: Forecast Original/Remaining terms?

When using the Discount Factor Formula: 1/(1+ Discount rate for that cash flow date) ^ Discount Factor term of that cash flow date.
Noting that Discount factor term is calculated as follows: (Cash flow date - as of date) / Actual number of days in that year and Discount rate for that cash flow derived using Date Of IRC: payment date and Yield Curve point: payment date - start date while setting the IRC attributes to act/act, annual compounding.


Although, the discount factor calculated doesn't match with the Discount Factor derived from FSI_O_PROCESS_CASH_FLOWS (FE492)

IRC code attributes data are:

Format type = Yield to Maturity
Compounding code = Annual
Accrual basis code = Actual/Actual
 

Solution

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In this Document
Goal
Solution
References


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