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In ALM, 1-Day Payment Frequency Instrument Ignores Holiday Calendar Weekends / Other Events For Interest Payment (Doc ID 2905257.1)

Last updated on NOVEMBER 04, 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 (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)

Goal

In ALM, 1 Day payment frequency instrument ignores holiday calendar weekends / other events for interest payment events.

 

For example: Say you have a deal with fixed interest rate, for which following business day was set in the Product Characteristic and assigned a holiday calendar with weekends defined on Saturday and Sunday.

If the deal is run with 1 Month payment frequency, the weekend is considered from the holiday calendar, and the payment is shifted and recalculated for each Monday, if it is the case.

However, when user needs to model the deal with 1 Day payment frequency, the holiday calendar assigned is ignored.

 

You expect to have this calculation correct and pay 3 days worth of accrued interest (i.e. Saturday + Sunday + Monday accrued interest) on Monday.

Solution

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In this Document
Goal
Solution
References


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