ALM Transaction Strategies Does Not Generate Correct Results on Interest Rate Swaps
(Doc ID 3025549.1)
Last updated on JUNE 04, 2024
Applies to:
Oracle Financial Services Asset Liability Management - Version 8.0.7.4.0 and laterInformation in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)
Symptoms
When processing hypothetical interest rate swaps in ALM transaction strategies found unexpected behavior.
‘New Business’ results are not as expected:
1. Discount Method setting “Use Principal in MV, Duration and Convexity Calculations (Off Balance Sheet Only)” selection does influence ‘new business’ results for Interest Rate Swaps when configured in transaction strategies. There seems to be a broken modeling ‘link’ between transaction strategies and the discount method assumption settings. Transaction strategies does not include notional amounts in market value and duration calculations despite being selected.
2. Both legs of ‘New Business’ for Interest Rate Swaps are being incorrectly aggregated and presented in LEG 1.
Observation only happens when transaction strategy is processed in combination with existing book interest rate swaps.
Cause
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In this Document
| Symptoms |
| Cause |
| Solution |
| References |