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For ALM Swap Discounting Is It Possible to Pick a Specific Discounting Curve Based on the Currency of the Cross Currency Swap (Doc ID 2851929.1)

Last updated on MARCH 04, 2022

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.7.4.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Enterprise Performance Management (EPM)
Off Balance Sheet (OBS)
Market Value (MV)
Currency (CCY)

Goal

Looking for clarification regarding the discounting of swap records functionality.

Does the system has the capability to pick specific discounting curve based not on single currency but both the currency of the cross currency swap.
Would like to pick a discounting curve which is based on the basis spread between two pair of currency and use that curve for discounting one of the leg of the SWAP.

However, per current understanding, ALM system will only look for single currency and fetch the discounting curve.

Solution

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In this Document
Goal
Solution


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