Discount Rate FE 490/FE 710 Not Matching With the Calculated Discount Rate
(Doc ID 2961414.1)
Last updated on JULY 20, 2023
Applies to:
Oracle Financial Services Asset Liability Management - Version 8.1.2 and laterInformation in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)
Symptoms
When validating Market Value (MV) calculation for a sample contract, found discount rate is not matching with the manually interpolated and calculated discount rate.
The 7 Day and 1 Month rate (consecutive tenors) on the Interest Rate Code (IRC) is 1.5454 & 1.6022 whereas the discount rate generated for cash flow due on 28 days generated by the Cash Flow Engine(CFE) is 1.6105 (outside rate range).
Expected Behavior:
Expected output is that the interpolated rate calculated by CFE should lie between the rates on the consecutive leading and lagging IRC tenors. Also, the CFE generated discount rate should match with calculated interpolated rate if IRC configuration is 'Zero Coupon', 'Act/Act' and 'Annual Compounding'.
Changes
Cause
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In this Document
| Symptoms |
| Changes |
| Cause |
| Solution |
| References |