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APPS.XTR_MM_COVERS dependencies on XTR_MM_FORMULAS

Line 371: xtr_mm_formulas.future_value_yield_rate(p_in_rec.p_present_val,

367: xtr_rate_conversion.discount_factor_conv(v_in_rec,v_out_rec);
368: v_rate:=v_out_rec.p_result;
369: p_out_rec.p_future_val:=p_in_rec.p_present_val/v_rate;
370: ELSIF (p_in_rec.p_day_count<=p_in_rec.p_annual_basis) THEN
371: xtr_mm_formulas.future_value_yield_rate(p_in_rec.p_present_val,
372: p_in_rec.p_rate,
373: p_in_rec.p_day_count,
374: p_in_rec.p_annual_basis,
375: p_out_rec.p_future_val);

Line 409: xtr_mm_formulas.future_value_discount_rate(p_in_rec.p_present_val,

405: xtr_rate_conversion.discount_factor_conv(v_in_rec,v_out_rec);
406: v_rate:=v_out_rec.p_result;
407: p_out_rec.p_future_val:=p_in_rec.p_present_val/v_rate;
408: ELSIF (p_in_rec.p_day_count<=p_in_rec.p_annual_basis) THEN
409: xtr_mm_formulas.future_value_discount_rate(p_in_rec.p_present_val,
410: p_in_rec.p_rate,
411: p_in_rec.p_day_count,
412: p_in_rec.p_annual_basis,
413: p_out_rec.p_future_val);

Line 534: xtr_mm_formulas.present_value_discount_factor(v_rate,

530: v_in_rec.p_compound_freq:=p_in_rec.p_compound_freq;
531: v_in_rec.p_day_count_basis:=p_in_rec.p_day_count_basis;
532: xtr_rate_conversion.discount_factor_conv(v_in_rec,v_out_rec);
533: v_rate:=v_out_rec.p_result;
534: xtr_mm_formulas.present_value_discount_factor(v_rate,
535: p_in_rec.p_future_val,
536: p_out_rec.p_present_val);
537: ELSIF (p_in_rec.p_day_count<=p_in_rec.p_annual_basis) THEN
538: xtr_mm_formulas.present_value_yield_rate(p_in_rec.p_future_val,

Line 538: xtr_mm_formulas.present_value_yield_rate(p_in_rec.p_future_val,

534: xtr_mm_formulas.present_value_discount_factor(v_rate,
535: p_in_rec.p_future_val,
536: p_out_rec.p_present_val);
537: ELSIF (p_in_rec.p_day_count<=p_in_rec.p_annual_basis) THEN
538: xtr_mm_formulas.present_value_yield_rate(p_in_rec.p_future_val,
539: p_in_rec.p_rate,
540: p_in_rec.p_day_count,
541: p_in_rec.p_annual_basis,
542: p_out_rec.p_present_val);

Line 552: xtr_mm_formulas.present_value_discount_factor(v_rate,

548: v_in_rec.p_rate:=p_in_rec.p_rate;
549: xtr_rate_conversion.discount_factor_conv(v_in_rec,v_out_rec);
550: v_rate:=v_out_rec.p_result;
551:
552: xtr_mm_formulas.present_value_discount_factor(v_rate,
553: p_in_rec.p_future_val,
554: p_out_rec.p_present_val);
555: END IF;
556: ELSIF (p_in_rec.p_indicator = 'DR') THEN

Line 577: xtr_mm_formulas.present_value_discount_factor(v_rate,

573: v_in_rec.p_compound_freq:=p_in_rec.p_compound_freq;
574: v_in_rec.p_day_count_basis:=p_in_rec.p_day_count_basis;
575: xtr_rate_conversion.discount_factor_conv(v_in_rec,v_out_rec);
576: v_rate:=v_out_rec.p_result;
577: xtr_mm_formulas.present_value_discount_factor(v_rate,
578: p_in_rec.p_future_val,
579: p_out_rec.p_present_val);
580: ELSIF (p_in_rec.p_day_count<=p_in_rec.p_annual_basis) THEN
581: xtr_mm_formulas.present_value_discount_rate(p_in_rec.p_future_val,

Line 581: xtr_mm_formulas.present_value_discount_rate(p_in_rec.p_future_val,

577: xtr_mm_formulas.present_value_discount_factor(v_rate,
578: p_in_rec.p_future_val,
579: p_out_rec.p_present_val);
580: ELSIF (p_in_rec.p_day_count<=p_in_rec.p_annual_basis) THEN
581: xtr_mm_formulas.present_value_discount_rate(p_in_rec.p_future_val,
582: p_in_rec.p_rate,
583: p_in_rec.p_day_count,
584: p_in_rec.p_annual_basis,
585: p_out_rec.p_present_val);

Line 603: xtr_mm_formulas.present_value_discount_factor(v_rate,

599: xtr_rate_conversion.discount_factor_conv(v_in_rec,v_out_rec);
600: v_rate:=v_out_rec.p_result;
601:
602: --PV with disc. factor
603: xtr_mm_formulas.present_value_discount_factor(v_rate,
604: p_in_rec.p_future_val,
605: p_out_rec.p_present_val);
606:
607: END IF;

Line 610: xtr_mm_formulas.present_value_discount_factor(p_in_rec.p_rate,

606:
607: END IF;
608:
609: ELSIF (p_in_rec.p_indicator = 'D') THEN
610: xtr_mm_formulas.present_value_discount_factor(p_in_rec.p_rate,
611: p_in_rec.p_future_val,
612: p_out_rec.p_present_val);
613: ELSE
614: --

Line 662: xtr_mm_formulas.fra_settlement_amount_yield(p_in_rec.p_fra_price,

658:
659: BEGIN
660:
661: IF (p_in_rec.p_indicator = 'Y') THEN
662: xtr_mm_formulas.fra_settlement_amount_yield(p_in_rec.p_fra_price,
663: p_in_rec.p_settlement_rate,
664: p_in_rec.p_face_value,
665: p_in_rec.p_day_count,
666: p_in_rec.p_annual_basis,

Line 670: xtr_mm_formulas.fra_settlement_amount_discount(p_in_rec.p_fra_price,

666: p_in_rec.p_annual_basis,
667: p_out_rec.p_settlement_amount);
668:
669: ELSIF (p_in_rec.p_indicator = 'DR') THEN
670: xtr_mm_formulas.fra_settlement_amount_discount(p_in_rec.p_fra_price,
671: p_in_rec.p_settlement_rate,
672: p_in_rec.p_face_value,
673: p_in_rec.p_day_count,
674: p_in_rec.p_annual_basis,

Line 750: xtr_mm_formulas.fra_price_df(p_in_rec.p_t, p_in_rec.p_T1,

746: xtr_risk_debug_pkg.dpush('XTR_MM_COVERS.INTEREST_FORWARD_RATE');
747: END IF;
748:
749: IF (p_in_rec.p_indicator IN ('D','d')) THEN
750: xtr_mm_formulas.fra_price_df(p_in_rec.p_t, p_in_rec.p_T1,
751: p_in_rec.p_Rt, p_in_rec.p_Rt1,
752: p_in_rec.p_year_basis, p_out_rec.p_fra_rate);
753: ELSIF (p_in_rec.p_indicator IN ('Y','y')) THEN
754: --also use FRA Price from DF formula

Line 774: xtr_mm_formulas.fra_price_df(p_in_rec.p_t, p_in_rec.p_T1,

770: v_rate_long := v_df_out.p_result;
771: IF xtr_risk_debug_pkg.g_Debug THEN
772: xtr_risk_debug_pkg.dlog('interest_forward_rate: ' || 'v_rate_long',v_rate_long);
773: END IF;
774: xtr_mm_formulas.fra_price_df(p_in_rec.p_t, p_in_rec.p_T1,
775: v_rate_short, v_rate_long,
776: p_in_rec.p_year_basis, p_out_rec.p_fra_rate);
777:
778: ELSE

Line 853: v_bo_in xtr_mm_formulas.black_opt_in_rec_type;

849: v_rc_in xtr_rate_conversion.rate_conv_in_rec_type;
850: v_rc_out xtr_rate_conversion.rate_conv_out_rec_type;
851: v_fr_in int_forw_rate_in_rec_type;
852: v_fr_out int_forw_rate_out_rec_type;
853: v_bo_in xtr_mm_formulas.black_opt_in_rec_type;
854: v_bo_out xtr_mm_formulas.black_opt_out_rec_type;
855: v_temp NUMBER;
856: v_dummy NUMBER;
857: v_strike NUMBER;

Line 854: v_bo_out xtr_mm_formulas.black_opt_out_rec_type;

850: v_rc_out xtr_rate_conversion.rate_conv_out_rec_type;
851: v_fr_in int_forw_rate_in_rec_type;
852: v_fr_out int_forw_rate_out_rec_type;
853: v_bo_in xtr_mm_formulas.black_opt_in_rec_type;
854: v_bo_out xtr_mm_formulas.black_opt_out_rec_type;
855: v_temp NUMBER;
856: v_dummy NUMBER;
857: v_strike NUMBER;
858:

Line 988: xtr_mm_formulas.black_option_price(v_bo_in, v_bo_out);

984: v_bo_in.p_int_rate := v_strike;
985: v_bo_in.p_T1 := v_fr_in.p_t;
986: v_bo_in.p_T2 := v_fr_in.p_T1;
987: v_bo_in.p_VOLATILITY := p_in_rec.p_VOLATILITY;
988: xtr_mm_formulas.black_option_price(v_bo_in, v_bo_out);
989: p_out_rec.p_CAPLET_PRICE := v_bo_out.p_CAPLET_PRICE;
990: p_out_rec.p_FLOORLET_PRICE := v_bo_out.p_FLOORLET_PRICE;
991: p_out_rec.p_FORWARD_FORWARD_RATE := v_bo_in.p_forward_rate;
992: p_out_rec.p_Nd1 := v_bo_out.p_Nd1;