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APPS.QRM_PA_CALCULATION_P dependencies on QRM_MM_FORMULAS

Line 364: p_bo_in QRM_MM_FORMULAS.black_opt_sens_in_rec_type;

360: p_pv_in XTR_MM_COVERS.presentvalue_in_rec_type;
361: p_pv_out XTR_MM_COVERS.presentvalue_out_rec_type;
362: p_gk_in QRM_FX_FORMULAS.gk_option_sens_in_rec_type;
363: p_gk_out QRM_FX_FORMULAS.gk_option_sens_out_rec_type;
364: p_bo_in QRM_MM_FORMULAS.black_opt_sens_in_rec_type;
365: p_bo_out QRM_MM_FORMULAS.black_opt_sens_out_rec_type;
366:
367:
368: p_settings get_settings%ROWTYPE;

Line 365: p_bo_out QRM_MM_FORMULAS.black_opt_sens_out_rec_type;

361: p_pv_out XTR_MM_COVERS.presentvalue_out_rec_type;
362: p_gk_in QRM_FX_FORMULAS.gk_option_sens_in_rec_type;
363: p_gk_out QRM_FX_FORMULAS.gk_option_sens_out_rec_type;
364: p_bo_in QRM_MM_FORMULAS.black_opt_sens_in_rec_type;
365: p_bo_out QRM_MM_FORMULAS.black_opt_sens_out_rec_type;
366:
367:
368: p_settings get_settings%ROWTYPE;
369: p_deal_calculations deal_calculated%ROWTYPE;

Line 2783: QRM_MM_FORMULAS.fv_bond(p_pricing_models(i),

2779: END IF;
2780: IF (p_insert_or_update <> 'N') THEN
2781: p_mm_reval_rate_temp(i):= null;
2782: -- calculates fair value, data side, reval rate
2783: QRM_MM_FORMULAS.fv_bond(p_pricing_models(i),
2784: p_market_data_set_temp(i), p_deal_subtypes(i),
2785: p_bond_code, p_bond_issues(i), p_deal_ccys(i),
2786: p_interpolation_method, p_coupon_actions(i),
2787: p_day_count_bases(i), p_ref_date,

Line 3046: p_convexity_temp(i) := QRM_MM_FORMULAS.bond_convexity(

3042: -- convexity
3043: IF (g_proc_level>=g_debug_level) THEN
3044: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'dirty price: '||p_dirty_price);
3045: END IF;
3046: p_convexity_temp(i) := QRM_MM_FORMULAS.bond_convexity(
3047: p_cashflows, p_days, p_coupon_freqs(i),
3048: p_bond_ytm, p_annual_basis, p_dirty_price);
3049: -- convert convexity to per 100
3050: p_convexity_temp(i) := p_convexity_temp(i)/

Line 3081: p_duration_temp(i) := QRM_MM_FORMULAS.duration(p_cashflows,

3077: END LOOP;
3078:
3079: -- duration
3080: -- calculate number of days until maturity
3081: p_duration_temp(i) := QRM_MM_FORMULAS.duration(p_cashflows,
3082: p_days, p_annual_basis);
3083:
3084: -- modified duration
3085: p_mod_duration_temp(i) := QRM_MM_FORMULAS.mod_duration(

Line 3085: p_mod_duration_temp(i) := QRM_MM_FORMULAS.mod_duration(

3081: p_duration_temp(i) := QRM_MM_FORMULAS.duration(p_cashflows,
3082: p_days, p_annual_basis);
3083:
3084: -- modified duration
3085: p_mod_duration_temp(i) := QRM_MM_FORMULAS.mod_duration(
3086: p_duration_temp(i), p_bond_ytm, p_coupon_freqs(i));
3087:
3088: -- bpv
3089: p_bpv := QRM_MM_FORMULAS.bpv_yr(p_dirty_price,

Line 3089: p_bpv := QRM_MM_FORMULAS.bpv_yr(p_dirty_price,

3085: p_mod_duration_temp(i) := QRM_MM_FORMULAS.mod_duration(
3086: p_duration_temp(i), p_bond_ytm, p_coupon_freqs(i));
3087:
3088: -- bpv
3089: p_bpv := QRM_MM_FORMULAS.bpv_yr(p_dirty_price,
3090: p_mod_duration_temp(i));
3091:
3092: END IF; --Sens for Floating vs Fixed
3093:

Line 3339: QRM_MM_FORMULAS.fv_ni(p_pricing_models(i),

3335:
3336:
3337: IF (p_insert_or_update <> 'N') THEN
3338: -- fair value, data side, reval rate (in ACT/365)
3339: QRM_MM_FORMULAS.fv_ni(p_pricing_models(i),
3340: p_market_data_set_temp(i), p_deal_subtypes(i),
3341: p_discount_yields(i), p_deal_ccys(i),
3342: p_interpolation_method, p_day_count_bases(i),
3343: p_ref_date, p_start_dates(i), p_maturity_dates(i),

Line 3381: p_duration_temp(i) := QRM_MM_FORMULAS.duration(NULL,

3377: IF (g_proc_level>=g_debug_level) THEN
3378: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'days to maturity: '||p_days(1));
3379: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'days in year: '||p_annual_basis);
3380: END IF;
3381: p_duration_temp(i) := QRM_MM_FORMULAS.duration(NULL,
3382: p_days, p_annual_basis);
3383:
3384: -- yield rate is reval rate in deal day count basis
3385: IF (p_day_count_bases(i) <> p_mm_day_count_basis) THEN

Line 3413: p_mod_duration_temp(i) := QRM_MM_FORMULAS.mod_duration(

3409: -- yield to maturity is reval rate in deal DCB
3410: p_ytm_temp(i) := p_yield_rate;
3411:
3412: -- modified duration
3413: p_mod_duration_temp(i) := QRM_MM_FORMULAS.mod_duration(
3414: p_duration_temp(i), p_yield_rate, 1);
3415:
3416: -- bpv
3417: -- signed because fair value is signed

Line 3418: p_bpv := QRM_MM_FORMULAS.bpv_yr(p_fair_value_temp(i)/

3414: p_duration_temp(i), p_yield_rate, 1);
3415:
3416: -- bpv
3417: -- signed because fair value is signed
3418: p_bpv := QRM_MM_FORMULAS.bpv_yr(p_fair_value_temp(i)/
3419: p_face_values(i), p_mod_duration_temp(i));
3420:
3421: -- convexity
3422: p_convexity_temp(i) := QRM_MM_FORMULAS.ni_fra_convexity(

Line 3422: p_convexity_temp(i) := QRM_MM_FORMULAS.ni_fra_convexity(

3418: p_bpv := QRM_MM_FORMULAS.bpv_yr(p_fair_value_temp(i)/
3419: p_face_values(i), p_mod_duration_temp(i));
3420:
3421: -- convexity
3422: p_convexity_temp(i) := QRM_MM_FORMULAS.ni_fra_convexity(
3423: p_days(1), p_yield_rate, p_annual_basis);
3424:
3425: -- position bpv
3426: -- + for ISSUE, - for BUY

Line 3673: QRM_MM_FORMULAS.fv_tmm_irs_rtmm(p_pricing_models(i),

3669: FETCH get_last_trans_no INTO p_last_trans_no;
3670: CLOSE get_last_trans_no;
3671:
3672: -- fair values for TMM/IRS/RTMM
3673: QRM_MM_FORMULAS.fv_tmm_irs_rtmm(p_pricing_models(i),
3674: p_deal_types(i), p_market_data_set_temp(i), 'N',
3675: p_deal_subtypes(i), p_interpolation_method,
3676: p_deal_ccys(i), p_discount_yields(i),
3677: p_initial_bases(i), p_ref_date, p_settle_dates(i),

Line 3732: p_duration_temp(i) := QRM_MM_FORMULAS.duration(

3728: -- duration
3729: IF (g_proc_level>=g_debug_level) THEN
3730: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'inside ref date check');
3731: END IF;
3732: p_duration_temp(i) := QRM_MM_FORMULAS.duration(
3733: p_cashflows, p_days, p_annual_basis);
3734: IF (g_proc_level>=g_debug_level) THEN
3735: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'duration is: '|| p_duration_temp(i));
3736: END IF;

Line 3739: QRM_MM_FORMULAS.fv_tmm_irs_rtmm(p_pricing_models(i),

3735: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'duration is: '|| p_duration_temp(i));
3736: END IF;
3737: -- Position BPV in deal ccy
3738: -- calculate fair value with yield curve + 1bp
3739: QRM_MM_FORMULAS.fv_tmm_irs_rtmm(p_pricing_models(i),
3740: p_deal_types(i), p_market_data_set_temp(i), 'Y',
3741: p_deal_subtypes(i), p_interpolation_method,
3742: p_deal_ccys(i), p_discount_yields(i),
3743: p_initial_bases(i), p_ref_date, p_settle_dates(i),

Line 3862: QRM_MM_FORMULAS.fv_fra(p_pricing_models(i),

3858: END IF;
3859:
3860: IF (p_insert_or_update <> 'N') THEN
3861: -- fair value (reval rate=fra price=contract rate, in Act/365)
3862: QRM_MM_FORMULAS.fv_fra(p_pricing_models(i),
3863: p_market_data_set_temp(i), 'N', p_deal_subtypes(i),
3864: p_deal_ccys(i), p_interpolation_method, p_ref_date,
3865: p_start_dates(i), p_maturity_dates(i),
3866: p_face_values(i), p_transaction_rates(i),

Line 3905: p_duration_temp(i) := QRM_MM_FORMULAS.duration(null,

3901: IF (g_proc_level>=g_debug_level) THEN
3902: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'FRA days to start: '||p_days(1));
3903: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'FRA annual basis: '||p_annual_basis);
3904: END IF;
3905: p_duration_temp(i) := QRM_MM_FORMULAS.duration(null,
3906: p_days, p_annual_basis);
3907:
3908: -- convexity
3909: -- use fra price (reval rate) in deal day count basis

Line 3934: p_convexity_temp(i) := QRM_MM_FORMULAS.ni_fra_convexity(

3930:
3931: IF (g_proc_level>=g_debug_level) THEN
3932: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'FRA price in deal DCB',p_fra_price);
3933: END IF;
3934: p_convexity_temp(i) := QRM_MM_FORMULAS.ni_fra_convexity(
3935: p_days(1), p_fra_price, p_annual_basis);
3936:
3937: -- position bpv
3938: -- calculate fair value with fwd-fwd rate + 1bp

Line 3939: QRM_MM_FORMULAS.fv_fra(p_pricing_models(i),

3935: p_days(1), p_fra_price, p_annual_basis);
3936:
3937: -- position bpv
3938: -- calculate fair value with fwd-fwd rate + 1bp
3939: QRM_MM_FORMULAS.fv_fra(p_pricing_models(i),
3940: p_market_data_set_temp(i), 'Y', p_deal_subtypes(i),
3941: p_deal_ccys(i), p_interpolation_method, p_ref_date,
3942: p_start_dates(i), p_maturity_dates(i),
3943: p_face_values(i), p_transaction_rates(i),

Line 4080: QRM_MM_FORMULAS.fv_iro(p_pricing_models(i),

4076: -- fair value, reval rate (= fwd fwd rate in Act/365)
4077: IF (g_proc_level>=g_debug_level) THEN
4078: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'IRO deal ccy is: '||p_deal_ccys(i));
4079: END IF;
4080: QRM_MM_FORMULAS.fv_iro(p_pricing_models(i),
4081: p_market_data_set_temp(i), p_deal_subtypes(i),
4082: p_deal_ccys(i), p_interpolation_method, p_ref_date,
4083: p_start_dates(i), p_maturity_dates(i),
4084: p_transaction_rates(i), p_day_count_bases(i),

Line 4163: QRM_MM_FORMULAS.black_option_sens(p_bo_in, p_bo_out);

4159: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'IRO volatility is: '||p_volatility_temp(i));
4160: END IF;
4161:
4162: p_bo_in.p_volatility := p_md_out.p_md_out;
4163: QRM_MM_FORMULAS.black_option_sens(p_bo_in, p_bo_out);
4164: IF (p_deal_subtypes(i) IN ('BCAP', 'SCAP')) THEN
4165: p_delta_temp(i) := p_bo_out.p_delta_cap;
4166: p_theta_temp(i) := p_bo_out.p_theta_cap;
4167: p_rho_temp(i) := p_bo_out.p_rho_cap;

Line 4552: QRM_MM_FORMULAS.calculate_accrued_interest('R',

4548:
4549: IF (p_insert_or_update <> 'N') THEN
4550: -- accrued interest
4551: p_accrued_interest_temp(i) :=
4552: QRM_MM_FORMULAS.calculate_accrued_interest('R',
4553: p_ref_date, p_start_dates(i),
4554: p_maturity_dates(i), p_transaction_rates(i),
4555: p_interests(i), p_accum_int_bfs(i),
4556: p_face_values(i), p_no_of_days(i),

Line 5899: WHEN QRM_MM_FORMULAS.e_option_vol_zero THEN

5895: XTR_RISK_DEBUG_PKG.dlog('EXCEPTION','QRM_ANA_NO_DATA_FOUND',
5896: 'QRM_PA_CALCULATIONS_P.RUN_ANALYSIS',
5897: g_error_level);
5898: END IF;
5899: WHEN QRM_MM_FORMULAS.e_option_vol_zero THEN
5900: retcode := '1'; -- success with warnings
5901: p_except_counter := p_except_counter + 1;
5902: p_except_deal_no.EXTEND;
5903: p_except_transaction_no.EXTEND;