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93:
94: IF (p_no_days2 = 0) THEN
95: p_rate2 := p_rate1;
96: ELSE
97: xtr_calc_p.calc_days_run_c(p_spot_date, p_future_date, p_day_count_basis1,
98: null, v_no_days1, v_ann_basis1);
99:
100: p_rate2 := (p_rate1*v_no_days1*p_ann_basis2)/(v_ann_basis1*p_no_days2);
101: END IF;
143:
144: IF (p_in_rec.p_term_type IS NULL) THEN
145: --need to find out the term type based on 30/360 day count basis
146: --which is the standard for period_code in current system rates.
147: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date, p_in_rec.p_future_date,
148: '30/', v_dummy, v_no_days, v_dummy);
149: IF (v_no_days >= 30) THEN
150: v_term_type := 'M';
151: ELSE
374: v_day_count_basis_out := p_in_rec.p_day_count_basis_out;
375: END IF;
376:
377: --find annual basis and day count based on the future and spot date
378: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date, p_in_rec.p_future_date,
379: 'ACTUAL/ACTUAL', null, v_xval,
380: v_annual_basis_out);
381:
382: --find interpolation method, using the rule specified in MD API doc.
447:
448: --from future date get the day_count and annual basis in ACTUAL/ACTUAL
449: v_N.EXTEND;
450:
451: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date, v_future_date,
452: 'ACTUAL/ACTUAL', null, v_X(v_count),
453: v_N(v_count));
454:
455: --second, get the Y element of the curve
476: --Since not uniform all rates must be converted to dcb_out for CS intp
477: ---
478: --first step is to find day count and ann basis based on dcb in
479: IF (temprec.day_count_basis <> 'ACTUAL/ACTUAL') THEN
480: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
481: v_future_date,
482: temprec.day_count_basis, null, v_day_count_i,
483: v_annual_basis_i);
484: ELSE
486: v_annual_basis_i := v_N(v_count);
487: END IF;
488: --find day count and ann basis of based on the dcb_out
489: IF (v_day_count_basis_out <> 'ACTUAL/ACTUAL') THEN
490: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
491: v_future_date,
492: v_day_count_basis_out, null, v_day_count,
493: v_annual_basis);
494: ELSE
595:
596: --from future date get the day_count and annual basis in ACTUAL/ACTUAL
597: v_N.EXTEND;
598:
599: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date, v_future_date,
600: 'ACTUAL/ACTUAL', null, v_X(v_count),
601: v_N(v_count));
602:
603: --second, get the Y element of the curve
624: --Since not uniform all rates must be converted to ACT/ACT for CS intp
625: ---
626: --first step is to find day count and ann basis based on dcb in
627: IF (temprec.day_count_basis <> 'ACTUAL/ACTUAL') THEN
628: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
629: v_future_date,
630: temprec.day_count_basis, null, v_day_count_i,
631: v_annual_basis_i);
632: ELSE
634: v_annual_basis_i := v_N(v_count);
635: END IF;
636: --find day count and ann basis of based on the dcb_out
637: IF (v_day_count_basis_out <> 'ACTUAL/ACTUAL') THEN
638: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
639: v_future_date,
640: v_day_count_basis_out, null, v_day_count,
641: v_annual_basis);
642: ELSE
878: --convert the v_lo to v_day_count_basis_out if not already
879: IF (v_dcb(v_lo) <> v_day_count_basis_out) THEN
880: --find day count and ann basis of v_hi based on the dcb_in
881: IF (v_dcb(v_lo) <> 'ACTUAL/ACTUAL') THEN
882: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
883: p_in_rec.p_spot_date + v_X(v_lo),
884: v_dcb(v_lo), null, v_day_count_i,
885: v_annual_basis_i);
886: ELSE
888: v_annual_basis_i := v_N(v_lo);
889: END IF;
890: --find day count and ann basis of v_hi based on the dcb_out
891: IF (v_day_count_basis_out <> 'ACTUAL/ACTUAL') THEN
892: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
893: p_in_rec.p_spot_date + v_X(v_lo),
894: v_day_count_basis_out, null, v_day_count,
895: v_annual_basis);
896: ELSE
913: --convert the v_hi to v_day_count_basis_out if not already
914: IF (v_dcb(v_hi) <> v_day_count_basis_out) THEN
915: --find day count and ann basis of v_hi based on the dcb_in
916: IF (v_dcb(v_hi) <> 'ACTUAL/ACTUAL') THEN
917: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
918: p_in_rec.p_spot_date + v_X(v_hi),
919: v_dcb(v_hi), null, v_day_count_i,
920: v_annual_basis_i);
921: ELSE
923: v_annual_basis_i := v_N(v_hi);
924: END IF;
925: --find day count and ann basis of v_hi based on the dcb_out
926: IF (v_day_count_basis_out <> 'ACTUAL/ACTUAL') THEN
927: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,
928: p_in_rec.p_spot_date + v_X(v_hi),
929: v_day_count_basis_out, null, v_day_count,
930: v_annual_basis);
931: ELSE
962: IF (v_day_count_basis_out <> v_day_count_basis_in) THEN
963: IF (v_day_count_basis_in <> 'ACTUAL/ACTUAL') THEN
964: --need to find the v_day_count_i and v_annual_basis_i based on the
965: --dcb_out
966: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,p_in_rec.p_future_date,
967: v_day_count_basis_in, null, v_day_count_i,
968: v_annual_basis_i);
969: ELSE
970: v_day_count_i := v_xval;
970: v_day_count_i := v_xval;
971: v_annual_basis_i := v_annual_basis_out;
972: END IF;
973: IF (v_day_count_basis_out <> 'ACTUAL/ACTUAL') THEN
974: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date, p_in_rec.p_future_date,
975: v_day_count_basis_out, null, v_day_count,
976: v_annual_basis);
977: ELSE
978: v_day_count := v_xval;
987: IF (v_day_count_basis_out = 'ACTUAL/ACTUAL') THEN
988: v_annual_basis := v_annual_basis_out;
989: v_day_count := v_xval;
990: ELSE
991: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date,p_in_rec.p_future_date,
992: v_day_count_basis_out, null, v_day_count,
993: v_annual_basis);
994: END IF;
995: END IF;
1608: xtr_risk_debug_pkg.dlog('GET_FX_FORWARD_FROM_SET: ' || 'p_side',p_in_rec.p_side);
1609: END IF;
1610:
1611: --calc v_day_count and v_annual_basis
1612: xtr_calc_p.calc_days_run_c(p_in_rec.p_spot_date, p_in_rec.p_future_date,
1613: p_in_rec.p_day_count_basis_out, null, v_day_count,
1614: v_annual_basis);
1615:
1616: --transfer all the common parameters to the new record