Hybrid Yield Curve Generation Including Incorrect Term Points for "Spread" Method
(Doc ID 2993516.1)
Last updated on JANUARY 25, 2024
Applies to:
Oracle Financial Services Analytical Applications Infrastructure - Version 8.1.2 and laterOracle Financial Services Funds Transfer Pricing - Version 8.1.2 and later
Oracle Financial Services Asset Liability Management - Version 8.1.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Funds Transfer Pricing (FTP)
Symptoms
When attempting to create a new Hybrid yield curve using the "Spread" option with two Interest Rate Codes (IRC), the results of generating the Interest Rates are including Term points that are not selected in the definition screen.
Under "Hybrid Term Structure Weights", the following terms are NOT checked: 1D, 1M, 2M, 3M, 6M
The following terms are checked: 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y
After generating the Hybrid rates, the data in FSI_IRC_RATE_HIST for the Hybrid Curve includes points for 3M and 6M even though they were not selected in the definition screen.
Cause
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In this Document
| Symptoms |
| Cause |
| Solution |
| References |