How to Validate OFSA RM Generated Market Value Calculations with an Annual Zero Coupon Yield Curve (Doc ID 332015.1)

Last updated on MAY 10, 2017

Applies to:

Oracle Risk Manager - Version 4.5.39 and later
Information in this document applies to any platform.
Oracle Financial Services Applications (OFSA) - Version: 4.5
Note: All OFSA 4.5 products have reached sustaining support.

Goal

You are looking to validate the Oracle Risk Manager (RM) generated market value results and have the following questions:

What formulas are used to calculate Market Value and Discount Factor in RM? Does OFSA by default use the “Straight Line Interpolation” method to generate the zero rate for a period between two cash flow event dates?

 

Solution

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