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APPS.QRM_PA_CALCULATION_P dependencies on XTR_MARKET_DATA_P

Line 354: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;

350: p_fxo_day_count_basis VARCHAR2(15) := '30/';
351: -- actual/actual for rho calculation consistency
352: p_fx_day_count_basis VARCHAR2(15) := 'ACTUAL/ACTUAL';
353: p_interpolation_method VARCHAR2(20) := 'DEFAULT';
354: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
355: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
356: p_df_in XTR_RATE_CONVERSION.df_in_rec_type;
357: p_df_out XTR_RATE_CONVERSION.df_out_rec_type;
358: p_rc_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;

Line 355: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;

351: -- actual/actual for rho calculation consistency
352: p_fx_day_count_basis VARCHAR2(15) := 'ACTUAL/ACTUAL';
353: p_interpolation_method VARCHAR2(20) := 'DEFAULT';
354: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
355: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
356: p_df_in XTR_RATE_CONVERSION.df_in_rec_type;
357: p_df_out XTR_RATE_CONVERSION.df_out_rec_type;
358: p_rc_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
359: p_rc_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;

Line 2161: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2157: p_md_in.p_ccy := p_foreign_ccys(i);
2158: p_md_in.p_day_count_basis_out := p_fxo_day_count_basis;
2159: p_md_in.p_interpolation_method := p_interpolation_method;
2160: p_md_in.p_side := p_side;
2161: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2162: p_gk_in.p_rate_for := p_md_out.p_md_out;
2163: IF (within_one_year(p_ref_date, p_end_dates(i))) THEN
2164: p_gk_in.p_rate_type_for := 'S';
2165: ELSE

Line 2176: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2172: END IF;
2173: -- get domestic ccy int rate
2174: -- XTR_RISK_DEBUG_PKG.dlog('calculating fxo domestic int rate');
2175: p_md_in.p_ccy := p_domestic_ccys(i);
2176: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2177: p_gk_in.p_rate_dom := p_md_out.p_md_out;
2178: IF (within_one_year(p_ref_date, p_end_dates(i))) THEN
2179: p_gk_in.p_rate_type_dom := 'S';
2180: ELSE

Line 2193: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2189: -- XTR_RISK_DEBUG_PKG.dlog('calculating fxo spot rate');
2190: p_md_in.p_indicator := 'S';
2191: p_md_in.p_ccy := p_foreign_ccys(i);
2192: p_md_in.p_contra_ccy := p_domestic_ccys(i);
2193: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2194: p_gk_in.p_spot_rate := p_md_out.p_md_out;
2195: IF (g_proc_level>=g_debug_level) THEN
2196: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'fxo spot rate:'||p_gk_in.p_spot_rate);
2197: END IF;

Line 2201: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2197: END IF;
2198: -- get volatility
2199: -- XTR_RISK_DEBUG_PKG.dlog('calculating fxo volatility');
2200: p_md_in.p_indicator := 'V';
2201: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2202: p_volatility_temp(i) := p_md_out.p_md_out;
2203:
2204: p_gk_in.p_volatility := p_md_out.p_md_out;
2205: p_gk_in.p_strike_rate := p_transaction_rates(i);

Line 2437: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2433: p_md_in.p_ccy := p_contra_ccys(i);
2434: p_md_in.p_day_count_basis_out := p_fx_day_count_basis;
2435: p_md_in.p_interpolation_method := p_interpolation_method;
2436: p_md_in.p_side := 'B';
2437: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2438: p_int_rate_b_bid := p_md_out.p_md_out;
2439: -- contra ccy int rate ask
2440: p_md_in.p_side := 'A';
2441: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

Line 2441: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2437: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2438: p_int_rate_b_bid := p_md_out.p_md_out;
2439: -- contra ccy int rate ask
2440: p_md_in.p_side := 'A';
2441: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2442: p_int_rate_b_ask := p_md_out.p_md_out;
2443: -- base ccy int rate bid
2444: p_md_in.p_side := 'B';
2445: p_md_in.p_ccy := p_base_ccys(i);

Line 2446: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2442: p_int_rate_b_ask := p_md_out.p_md_out;
2443: -- base ccy int rate bid
2444: p_md_in.p_side := 'B';
2445: p_md_in.p_ccy := p_base_ccys(i);
2446: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2447: p_int_rate_a_bid := p_md_out.p_md_out;
2448: -- base ccy int rate ask
2449: p_md_in.p_side := 'A';
2450: p_md_in.p_ccy := p_base_ccys(i);

Line 2451: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2447: p_int_rate_a_bid := p_md_out.p_md_out;
2448: -- base ccy int rate ask
2449: p_md_in.p_side := 'A';
2450: p_md_in.p_ccy := p_base_ccys(i);
2451: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2452: p_int_rate_a_ask := p_md_out.p_md_out;
2453: -- usd int rate bid
2454: p_md_in.p_side := 'B';
2455: p_md_in.p_ccy := p_base_ccys(i);

Line 2456: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2452: p_int_rate_a_ask := p_md_out.p_md_out;
2453: -- usd int rate bid
2454: p_md_in.p_side := 'B';
2455: p_md_in.p_ccy := p_base_ccys(i);
2456: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2457: p_int_rate_c_bid := p_md_out.p_md_out;
2458: p_md_in.p_side := 'A';
2459: p_md_in.p_ccy := p_base_ccys(i);
2460: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

Line 2460: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

2456: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2457: p_int_rate_c_bid := p_md_out.p_md_out;
2458: p_md_in.p_side := 'A';
2459: p_md_in.p_ccy := p_base_ccys(i);
2460: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
2461: p_int_rate_c_ask := p_md_out.p_md_out;
2462:
2463: -- base ccy discount factor bid
2464: p_df_in.p_indicator := 'T';

Line 2511: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);

2507: p_md_in.p_contra_ccy := 'USD';
2508: p_md_in.p_day_count_basis_out := p_fx_day_count_basis;
2509: p_md_in.p_interpolation_method := p_interpolation_method;
2510: p_md_in.p_side := 'B';
2511: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2512: p_spot_rate_a_bid := p_md_out.p_md_out;
2513: p_side := 'A';
2514: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2515: p_spot_rate_a_ask := p_md_out.p_md_out;

Line 2514: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);

2510: p_md_in.p_side := 'B';
2511: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2512: p_spot_rate_a_bid := p_md_out.p_md_out;
2513: p_side := 'A';
2514: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2515: p_spot_rate_a_ask := p_md_out.p_md_out;
2516: END IF;
2517:
2518: IF (g_proc_level>=g_debug_level) THEN

Line 2531: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);

2527: p_md_in.p_indicator := 'S';
2528: p_md_in.p_ccy := p_contra_ccys(i);
2529: p_md_in.p_contra_ccy := 'USD';
2530: p_md_in.p_side := 'B';
2531: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2532: p_spot_rate_b_bid := p_md_out.p_md_out;
2533: p_md_in.p_side := 'A';
2534: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2535: p_spot_rate_b_ask := p_md_out.p_md_out;

Line 2534: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);

2530: p_md_in.p_side := 'B';
2531: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2532: p_spot_rate_b_bid := p_md_out.p_md_out;
2533: p_md_in.p_side := 'A';
2534: XTR_MARKET_DATA_P.get_md_from_set(p_md_in,p_md_out);
2535: p_spot_rate_b_ask := p_md_out.p_md_out;
2536: END IF;
2537:
2538: IF (g_proc_level>=g_debug_level) THEN

Line 3607: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

3603: p_md_in.p_ccy := p_deal_ccys(i);
3604: p_md_in.p_day_count_basis_out := p_day_count_bases(i);
3605: p_md_in.p_interpolation_method := p_interpolation_method;
3606: p_md_in.p_side := 'M';
3607: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
3608: p_trans_disc_rates(p_counter) := p_md_out.p_md_out;
3609: p_trans_interest_settled.EXTEND;
3610: -- if RTMM, get amount due instead of interest settled
3611: IF (p_deal_types(i) = 'RTMM') THEN

Line 4131: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

4127: p_md_in.p_ccy := p_deal_ccys(i);
4128: p_md_in.p_day_count_basis_out := p_day_count_bases(i);
4129: p_md_in.p_interpolation_method := p_interpolation_method;
4130: p_md_in.p_side := p_side;
4131: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
4132: p_bo_in.p_ir_short := p_md_out.p_md_out;
4133: IF (within_one_year(p_ref_date, p_start_dates(i))) THEN
4134: p_bo_in.p_rate_type_short := 'S';
4135: ELSE

Line 4142: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

4138: END IF;
4139: p_bo_in.p_day_count_basis_short := p_day_count_bases(i);
4140: -- get interest rate until maturity date
4141: p_md_in.p_future_date := p_maturity_dates(i);
4142: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
4143: p_bo_in.p_ir_long := p_md_out.p_md_out;
4144: IF (within_one_year(p_ref_date, p_maturity_dates(i))) THEN
4145: p_bo_in.p_rate_type_long := 'S';
4146: ELSE

Line 4156: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

4152: p_bo_in.p_start_date := p_start_dates(i);
4153: p_bo_in.p_maturity_date := p_maturity_dates(i);
4154: -- get volatility
4155: p_md_in.p_indicator := 'V';
4156: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
4157: p_volatility_temp(i) := p_md_out.p_md_out;
4158: IF (g_proc_level>=g_debug_level) THEN
4159: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'IRO volatility is: '||p_volatility_temp(i));
4160: END IF;

Line 4401: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

4397: p_md_in.p_side := 'A';
4398: END IF;
4399: p_md_in.p_batch_id := NULL;
4400: p_md_in.p_bond_code := p_bond_code;
4401: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
4402: p_mm_reval_rate_temp(i) := p_md_out.p_md_out;
4403:
4404: -- transaction rate = strike price
4405: -- not interest rate, no need to convert TO ACTUAL365

Line 5857: WHEN XTR_MARKET_DATA_P.e_mdcs_no_curve_found THEN

5853: END IF; -- end deal ok : passed gap date test
5854:
5855:
5856: EXCEPTION
5857: WHEN XTR_MARKET_DATA_P.e_mdcs_no_curve_found THEN
5858: retcode := '1'; -- success with warnings
5859: p_except_counter := p_except_counter + 1;
5860: p_except_deal_no.EXTEND;
5861: p_except_transaction_no.EXTEND;

Line 5878: WHEN XTR_MARKET_DATA_P.e_mdcs_no_data_found THEN

5874: XTR_RISK_DEBUG_PKG.dlog('EXCEPTION','QRM_ANA_NO_CURVE_FOUND',
5875: 'QRM_PA_CALCULATIONS_P.RUN_ANALYSIS',
5876: g_error_level);
5877: END IF;
5878: WHEN XTR_MARKET_DATA_P.e_mdcs_no_data_found THEN
5879: retcode := '1'; -- success with warnings
5880: p_except_counter := p_except_counter + 1;
5881: p_except_deal_no.EXTEND;
5882: p_except_transaction_no.EXTEND;

Line 7017: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;

7013: p_to_ccy IN VARCHAR2,
7014: p_from_amount IN NUMBER,
7015: p_to_amount OUT NOCOPY NUMBER) IS
7016:
7017: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
7018: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
7019:
7020: BEGIN
7021: IF (g_proc_level>=g_debug_level) THEN

Line 7018: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;

7014: p_from_amount IN NUMBER,
7015: p_to_amount OUT NOCOPY NUMBER) IS
7016:
7017: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
7018: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
7019:
7020: BEGIN
7021: IF (g_proc_level>=g_debug_level) THEN
7022: XTR_RISK_DEBUG_PKG.dpush(null,'QRM_PA_CALCULATIONS.convert_amounts');--bug3236479

Line 7031: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

7027: p_md_in.p_spot_date := p_ref_date;
7028: p_md_in.p_ccy := p_from_ccy;
7029: p_md_in.p_contra_ccy := p_to_ccy;
7030: p_md_in.p_side := 'M';
7031: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
7032: IF (g_proc_level>=g_debug_level) THEN
7033: XTR_RISK_DEBUG_PKG.dlog('convert_amounts: ' || p_from_ccy||'/'||p_to_ccy||' spot rate:'||p_md_out.p_md_out);
7034: END IF;
7035: p_to_amount := p_from_amount*p_md_out.p_md_out;