Forward Start Swaps Issues with DV01, Duration, GAP Runoff in RES_DTL
(Doc ID 3049869.1)
Last updated on SEPTEMBER 27, 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
On 8.0.7.4.0 version, when running ALM with forward start swaps found incorrect financial element results being generated specifically in Result Detail, RES_DTL, table for Forward Start Swaps.
The financial elements that have incorrect results are: DV01 (element 721), Liquidity Gap Dv01 (element 1721), Duration (element 720) and Gap Runoff (element 660).
These issues are only observed with Forward Start Swaps where origination_date greater than as_of_date.
Results found in the results detail table for Forward Start Swaps are both inconsistent and incorrect to those found in the results master table.
Cause
To view full details, sign in with your My Oracle Support account. |
|
Don't have a My Oracle Support account? Click to get started! |
In this Document
| Symptoms |
| Cause |
| Solution |
| References |