APPS.QRM_PA_CALCULATION_P dependencies on QRM_FX_FORMULAS

Line 362: p_gk_in QRM_FX_FORMULAS.gk_option_sens_in_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;
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:

Line 363: p_gk_out QRM_FX_FORMULAS.gk_option_sens_out_rec_type;

359: p_rc_out XTR_RATE_CONVERSION.rate_conv_out_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:

Line 2116: QRM_FX_FORMULAS.fv_fxo(p_pricing_models(i),

2112:
2113: -- fair value for FXO in premium ccy
2114: -- deal ccy is premium ccy
2115: IF (p_insert_or_update <> 'N') THEN
2116: QRM_FX_FORMULAS.fv_fxo(p_pricing_models(i),
2117: p_deal_subtypes(i), p_calls_or_puts(i),
2118: p_market_data_set_temp(i), p_foreign_ccys(i),
2119: p_premium_ccys(i), p_buy_ccys(i),
2120: p_sell_ccys(i),p_interpolation_method,p_ref_date,

Line 2210: QRM_FX_FORMULAS.fx_gk_option_sens_cv(p_gk_in, p_gk_out);

2206: IF (g_proc_level>=g_debug_level) THEN
2207: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'fxo volatility:'||p_gk_in.p_volatility);
2208: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'fxo strike rate:'||p_gk_in.p_strike_rate);
2209: END IF;
2210: QRM_FX_FORMULAS.fx_gk_option_sens_cv(p_gk_in, p_gk_out);
2211: IF (p_calls_or_puts(i)='C') THEN
2212: p_delta_temp(i) := p_gk_out.p_delta_call;
2213: p_theta_temp(i) := p_gk_out.p_theta_call;
2214: p_rho_for_temp(i) := p_gk_out.p_rho_f_call;

Line 2546: QRM_FX_FORMULAS.fv_fx(p_pricing_models(i),

2542:
2543: IF (p_insert_or_update <> 'N') THEN
2544: -- FAIR VALUE of FX deal
2545: -- fair value of FX is always in SOB ccy
2546: QRM_FX_FORMULAS.fv_fx(p_pricing_models(i),
2547: p_market_data_set_temp(i), p_buy_ccys(i),
2548: p_sell_ccys(i), p_sob_ccy_temp(i),
2549: p_interpolation_method,
2550: p_ref_date, p_end_dates(i), p_buy_amounts(i),

Line 2571: p_deltas_rhos := QRM_FX_FORMULAS.fx_forward_delta_spot(

2567: END IF;
2568:
2569: -- ** FX SENSITIVITIES ** --
2570: -- delta spot
2571: p_deltas_rhos := QRM_FX_FORMULAS.fx_forward_delta_spot(
2572: p_contra_ccys(i), p_base_ccys(i), p_df_b_bid,
2573: p_df_b_ask, p_df_a_bid, p_df_a_ask, p_df_c_bid,
2574: p_df_c_ask);
2575: -- p_side determined by fair value calculation

Line 2594: p_deltas_rhos := QRM_FX_FORMULAS.fx_forward_rho('D',

2590: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'day count: '||p_day_count);
2591: XTR_RISK_DEBUG_PKG.dlog('run_analysis: ' || 'annual basis: '||p_annual_basis);
2592: END IF;
2593:
2594: p_deltas_rhos := QRM_FX_FORMULAS.fx_forward_rho('D',
2595: p_spot_rate_a_bid, p_spot_rate_a_ask,
2596: p_spot_rate_b_bid, p_spot_rate_b_ask,
2597: p_int_rate_a_bid, p_int_rate_a_ask,
2598: p_int_rate_b_bid, p_int_rate_b_ask,