Forward Rate Generated Has Short Term Volatility
(Doc ID 3040709.1)
Last updated on AUGUST 27, 2024
Applies to:
Oracle Financial Services Asset Liability Management - Version 8.0.7 and laterInformation in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Asset Liability Management Cloud Services (ALMCS)
Goal
Why is there a lot of volatility in the short end of the monthly implied forward rates being generated by ALM? The volatility in short term rates being forecasted is correlated to the number of days in each monthly forecast time bucket. In particular, the Overnight Index Swap (OIS) rate is most volatile showing up and down movements through time based on number of days in the month.
Solution
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In this Document
| Goal |
| Solution |
| References |