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APPS.QRM_CALCULATORS_P dependencies on XTR_RISK_DEBUG_PKG

Line 42: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.NI_CALCULATOR');

38:
39: BEGIN
40: --call the debug package
41: IF (g_proc_level>=g_debug_level) THEN
42: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.NI_CALCULATOR');
43: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_settlement_date',p_settlement_date);
44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);
45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);

Line 43: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_settlement_date',p_settlement_date);

39: BEGIN
40: --call the debug package
41: IF (g_proc_level>=g_debug_level) THEN
42: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.NI_CALCULATOR');
43: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_settlement_date',p_settlement_date);
44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);
45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);
47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);

Line 44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);

40: --call the debug package
41: IF (g_proc_level>=g_debug_level) THEN
42: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.NI_CALCULATOR');
43: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_settlement_date',p_settlement_date);
44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);
45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);
47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);
48: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate_type',p_rate_type);

Line 45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);

41: IF (g_proc_level>=g_debug_level) THEN
42: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.NI_CALCULATOR');
43: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_settlement_date',p_settlement_date);
44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);
45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);
47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);
48: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate_type',p_rate_type);
49: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate',p_rate);

Line 46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);

42: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.NI_CALCULATOR');
43: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_settlement_date',p_settlement_date);
44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);
45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);
47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);
48: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate_type',p_rate_type);
49: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate',p_rate);
50: END IF;

Line 47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);

43: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_settlement_date',p_settlement_date);
44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);
45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);
47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);
48: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate_type',p_rate_type);
49: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate',p_rate);
50: END IF;
51:

Line 48: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate_type',p_rate_type);

44: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_maturity_date',p_maturity_date);
45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);
47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);
48: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate_type',p_rate_type);
49: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate',p_rate);
50: END IF;
51:
52: --need to find day count and ann basis first

Line 49: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate',p_rate);

45: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_day_count_basis',p_day_count_basis);
46: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_indicator',p_indicator);
47: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_ref_amt',p_ref_amt);
48: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate_type',p_rate_type);
49: xtr_risk_debug_pkg.dlog('ni_calculator: ' || 'p_rate',p_rate);
50: END IF;
51:
52: --need to find day count and ann basis first
53: xtr_calc_p.calc_days_run_c(p_settlement_date, p_maturity_date,

Line 101: --xtr_risk_debug_pkg.dlog('p_rate_type',p_rate_type);

97: v_yield := p_conv_rate;
98: ELSE
99: v_yield := p_rate;
100: END IF;
101: --xtr_risk_debug_pkg.dlog('p_rate_type',p_rate_type);
102: p_mod_dur := qrm_mm_formulas.mod_duration(p_duration,v_yield,1);
103: --calc BPV Yield and Discount
104: p_bpv_y := qrm_mm_formulas.bpv_yr(p_consideration,p_mod_dur);
105: p_bpv_d := qrm_mm_formulas.ni_bpv_dr(p_mat_amt,v_day_count,v_ann_basis);

Line 119: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.NI_CALCULATOR');

115: FROM xtr_pro_param WHERE param_name = 'SYSTEM_FUNCTIONAL_CCY';
116: END IF;
117:
118: IF (g_proc_level>=g_debug_level) THEN
119: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.NI_CALCULATOR');
120: END IF;
121:
122: END ni_calculator;
123:

Line 238: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fx_calculator');

234: p_rho xtr_md_num_table;
235:
236: BEGIN
237: IF (g_proc_level>=g_debug_level) THEN
238: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fx_calculator');
239: END IF;
240:
241: IF fnd_msg_pub.count_msg > 0 THEN
242: fnd_msg_pub.Initialize;

Line 249: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculation Based On Defaults');

245: -- Use Default Curves
246: -- Do preparation work
247: IF (p_indicator = 'D') THEN
248: IF (g_proc_level>=g_debug_level) THEN
249: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculation Based On Defaults');
250: END IF;
251:
252: -- ** Default fields ** --
253: p_base_interpolation := 'DEFAULT';

Line 273: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'base curve', p_base_curve);

269: p_usd_curve := null;
270: p_usd_interpolation := null;
271:
272: IF (g_proc_level>=g_debug_level) THEN
273: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'base curve', p_base_curve);
274: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'contra curve', p_contra_curve);
275: END IF;
276: -- if neither currency is USD, then a USD curve is needed
277: if (p_neither_usd) then

Line 274: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'contra curve', p_contra_curve);

270: p_usd_interpolation := null;
271:
272: IF (g_proc_level>=g_debug_level) THEN
273: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'base curve', p_base_curve);
274: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'contra curve', p_contra_curve);
275: END IF;
276: -- if neither currency is USD, then a USD curve is needed
277: if (p_neither_usd) then
278: p_usd_curve := p_curve_codes(3);

Line 281: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'usd required', p_neither_usd);

277: if (p_neither_usd) then
278: p_usd_curve := p_curve_codes(3);
279: p_usd_interpolation := 'DEFAULT';
280: IF (g_proc_level>=g_debug_level) THEN
281: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'usd required', p_neither_usd);
282: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'usd curve', p_usd_curve);
283: END IF;
284: end if;
285:

Line 282: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'usd curve', p_usd_curve);

278: p_usd_curve := p_curve_codes(3);
279: p_usd_interpolation := 'DEFAULT';
280: IF (g_proc_level>=g_debug_level) THEN
281: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'usd required', p_neither_usd);
282: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'usd curve', p_usd_curve);
283: END IF;
284: end if;
285:
286: -- calculate Rates

Line 393: xtr_risk_debug_pkg.dlog('fx_calculator: ' || p_rate_types(i),p_rates_table(i));

389: end if;
390:
391: for i IN 1..p_rates_table.count LOOP
392: IF (g_proc_level>=g_debug_level) THEN
393: xtr_risk_debug_pkg.dlog('fx_calculator: ' || p_rate_types(i),p_rates_table(i));
394: END IF;
395: END LOOP;
396: IF (g_proc_level>=g_debug_level) THEN
397: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculation Based On Defaults');

Line 397: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculation Based On Defaults');

393: xtr_risk_debug_pkg.dlog('fx_calculator: ' || p_rate_types(i),p_rates_table(i));
394: END IF;
395: END LOOP;
396: IF (g_proc_level>=g_debug_level) THEN
397: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculation Based On Defaults');
398: END IF;
399:
400: ELSIF (p_indicator = 'C') then
401: IF (g_proc_level>=g_debug_level) THEN

Line 402: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculation Based On Curves');

398: END IF;
399:
400: ELSIF (p_indicator = 'C') then
401: IF (g_proc_level>=g_debug_level) THEN
402: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculation Based On Curves');
403: END IF;
404:
405: -- ** Default fields ** --
406: p_base_day_count := 'ACTUAL/ACTUAL';

Line 558: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculation Based On Curves');

554: p_usd_int_rate_bid := null;
555: p_usd_int_rate_ask := null;
556: end if;
557: IF (g_proc_level>=g_debug_level) THEN
558: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculation Based On Curves');
559: END IF;
560:
561: -- 'Calculate Based On Rates' button pressed
562: ELSIF (p_indicator = 'R') then

Line 564: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculation Based On Rates');

560:
561: -- 'Calculate Based On Rates' button pressed
562: ELSIF (p_indicator = 'R') then
563: IF (g_proc_level>=g_debug_level) THEN
564: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculation Based On Rates');
565: END IF;
566: -- if a spot rate is missing, go to base(defaults) section
567: if (p_base_spot_bid IS null) then
568: if (p_base_ccy <> 'USD') then

Line 682: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base curve', p_base_curve);

678: p_spot_date,p_forward_date);
679: -- default curves section
680: p_base_curve := p_curve_codes(1);
681: IF (g_proc_level>=g_debug_level) THEN
682: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base curve', p_base_curve);
683: END IF;
684: p_base_interpolation := p_interp_methods(1);
685: else
686: -- curve section not null, use curve

Line 698: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base bid rate',p_base_int_rate_bid);

694: p_spot_date,p_forward_date);
695: end if;
696: p_base_int_rate_bid := p_rates_table(1);
697: IF (g_proc_level>=g_debug_level) THEN
698: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base bid rate',p_base_int_rate_bid);
699: END IF;
700: end if;
701: if (p_base_int_rate_ask IS null) then
702: p_rate_types := SYSTEM.QRM_VARCHAR_TABLE('YIELD');

Line 722: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base curve', p_base_curve);

718: p_spot_date,p_forward_date);
719: -- default curves section
720: p_base_curve := p_curve_codes(1);
721: IF (g_proc_level>=g_debug_level) THEN
722: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base curve', p_base_curve);
723: END IF;
724: p_base_interpolation := p_interp_methods(1);
725: else
726: -- curve section not null, use curve

Line 737: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base ask rate',p_base_int_rate_ask);

733: p_spot_date,p_forward_date);
734: end if;
735: p_base_int_rate_ask := p_rates_table(1);
736: IF (g_proc_level>=g_debug_level) THEN
737: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted base ask rate',p_base_int_rate_ask);
738: END IF;
739: end if;
740: if (p_contra_int_rate_bid IS null) then
741: p_rate_types := SYSTEM.QRM_VARCHAR_TABLE('YIELD');

Line 761: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra curve', p_contra_curve);

757: p_spot_date,p_forward_date);
758: -- default curves section
759: p_contra_curve := p_curve_codes(1);
760: IF (g_proc_level>=g_debug_level) THEN
761: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra curve', p_contra_curve);
762: END IF;
763: p_contra_interpolation := p_interp_methods(1);
764: else
765: -- curve section not null, use curve

Line 776: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra bid rate',p_contra_int_rate_bid);

772: p_spot_date,p_forward_date);
773: end if;
774: p_contra_int_rate_bid := p_rates_table(1);
775: IF (g_proc_level>=g_debug_level) THEN
776: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra bid rate',p_contra_int_rate_bid);
777: END IF;
778: end if;
779: if (p_contra_int_rate_ask IS null) then
780: p_rate_types := SYSTEM.QRM_VARCHAR_TABLE('YIELD');

Line 800: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra curve', p_contra_curve);

796: p_spot_date,p_forward_date);
797: -- default curves section
798: p_contra_curve := p_curve_codes(1);
799: IF (g_proc_level>=g_debug_level) THEN
800: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra curve', p_contra_curve);
801: END IF;
802: p_contra_interpolation := p_interp_methods(1);
803: else
804: -- curve section not null, use curve

Line 815: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra ask rate',p_contra_int_rate_ask);

811: p_spot_date,p_forward_date);
812: end if;
813: p_contra_int_rate_ask := p_rates_table(1);
814: IF (g_proc_level>=g_debug_level) THEN
815: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted contra ask rate',p_contra_int_rate_ask);
816: END IF;
817: end if;
818: if (p_neither_usd) then
819: if (p_usd_int_rate_bid IS null) then

Line 840: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted usd curve', p_usd_curve);

836: p_spot_date,p_forward_date);
837: -- default curves section
838: p_usd_curve := p_curve_codes(1);
839: IF (g_proc_level>=g_debug_level) THEN
840: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted usd curve', p_usd_curve);
841: END IF;
842: p_usd_interpolation := p_interp_methods(1);
843: else
844: -- curve section not null, use curve

Line 855: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted usd bid rate',p_usd_int_rate_bid);

851: p_spot_date,p_forward_date);
852: end if;
853: p_usd_int_rate_bid := p_rates_table(1);
854: IF (g_proc_level>=g_debug_level) THEN
855: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted usd bid rate',p_usd_int_rate_bid);
856: END IF;
857: end if;
858: if (p_usd_int_rate_ask IS null) then
859: p_rate_types := SYSTEM.QRM_VARCHAR_TABLE('YIELD');

Line 879: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted usd curve',p_usd_curve);

875: p_spot_date,p_forward_date);
876: -- default curves section
877: p_usd_curve := p_curve_codes(1);
878: IF (g_proc_level>=g_debug_level) THEN
879: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted usd curve',p_usd_curve);
880: END IF;
881: p_usd_interpolation := p_interp_methods(1);
882: else
883: -- curve section not null, use curve

Line 894: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted USD ask rate',p_usd_int_rate_ask);

890: p_spot_date,p_forward_date);
891: end if;
892: p_usd_int_rate_ask := p_rates_table(1);
893: IF (g_proc_level>=g_debug_level) THEN
894: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'defaulted USD ask rate',p_usd_int_rate_ask);
895: END IF;
896: end if;
897: else
898: p_usd_int_rate_bid := null;

Line 903: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculation Based On Rates');

899: p_usd_int_rate_ask := null;
900: p_usd_day_count := null;
901: end if;
902: IF (g_proc_level>=g_debug_level) THEN
903: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculation Based On Rates');
904: END IF;
905: END IF;
906:
907: -- ***END OF DEFAULTING SECTION ***--

Line 1127: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculating Delta Spot');

1123: p_day_counts := SYSTEM.QRM_VARCHAR_TABLE(p_contra_day_count, p_contra_day_count,
1124: p_base_day_count, p_base_day_count,
1125: p_usd_day_count, p_usd_day_count);
1126: IF (g_proc_level>=g_debug_level) THEN
1127: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculating Delta Spot');
1128: END IF;
1129: for i IN 1..p_int_rates.count LOOP
1130: df_in_rec.p_indicator := 'T';
1131: df_in_rec.p_rate := p_int_rates(i);

Line 1139: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'int rate', p_int_rates(i));

1135: xtr_rate_conversion.discount_factor_conv(df_in_rec, df_out_rec);
1136: p_dis_factors.extend;
1137: p_dis_factors(i) := df_out_rec.p_result;
1138: IF (g_proc_level>=g_debug_level) THEN
1139: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'int rate', p_int_rates(i));
1140: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'day count', p_day_counts(i));
1141: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'disc factor', p_dis_factors(i));
1142: END IF;
1143: end LOOP;

Line 1140: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'day count', p_day_counts(i));

1136: p_dis_factors.extend;
1137: p_dis_factors(i) := df_out_rec.p_result;
1138: IF (g_proc_level>=g_debug_level) THEN
1139: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'int rate', p_int_rates(i));
1140: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'day count', p_day_counts(i));
1141: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'disc factor', p_dis_factors(i));
1142: END IF;
1143: end LOOP;
1144: IF (g_proc_level>=g_debug_level) THEN

Line 1141: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'disc factor', p_dis_factors(i));

1137: p_dis_factors(i) := df_out_rec.p_result;
1138: IF (g_proc_level>=g_debug_level) THEN
1139: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'int rate', p_int_rates(i));
1140: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'day count', p_day_counts(i));
1141: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'disc factor', p_dis_factors(i));
1142: END IF;
1143: end LOOP;
1144: IF (g_proc_level>=g_debug_level) THEN
1145: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'contra curr', p_contra_ccy);

Line 1145: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'contra curr', p_contra_ccy);

1141: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'disc factor', p_dis_factors(i));
1142: END IF;
1143: end LOOP;
1144: IF (g_proc_level>=g_debug_level) THEN
1145: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'contra curr', p_contra_ccy);
1146: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'base curr', p_base_ccy);
1147: END IF;
1148: p_delta := qrm_fx_formulas.fx_forward_delta_spot(p_contra_ccy, p_base_ccy,
1149: p_dis_factors(1), p_dis_factors(2),

Line 1146: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'base curr', p_base_ccy);

1142: END IF;
1143: end LOOP;
1144: IF (g_proc_level>=g_debug_level) THEN
1145: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'contra curr', p_contra_ccy);
1146: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'base curr', p_base_ccy);
1147: END IF;
1148: p_delta := qrm_fx_formulas.fx_forward_delta_spot(p_contra_ccy, p_base_ccy,
1149: p_dis_factors(1), p_dis_factors(2),
1150: p_dis_factors(3), p_dis_factors(4),

Line 1155: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot bid', p_delta_spot_bid);

1151: p_dis_factors(5), p_dis_factors(6));
1152: p_delta_spot_bid := p_delta(1);
1153: p_delta_spot_ask := p_delta(2);
1154: IF (g_proc_level>=g_debug_level) THEN
1155: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot bid', p_delta_spot_bid);
1156: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot ask', p_delta_spot_ask);
1157: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculating Delta Spot');
1158: END IF;
1159:

Line 1156: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot ask', p_delta_spot_ask);

1152: p_delta_spot_bid := p_delta(1);
1153: p_delta_spot_ask := p_delta(2);
1154: IF (g_proc_level>=g_debug_level) THEN
1155: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot bid', p_delta_spot_bid);
1156: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot ask', p_delta_spot_ask);
1157: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculating Delta Spot');
1158: END IF;
1159:
1160: -- fx forward rho

Line 1157: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculating Delta Spot');

1153: p_delta_spot_ask := p_delta(2);
1154: IF (g_proc_level>=g_debug_level) THEN
1155: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot bid', p_delta_spot_bid);
1156: xtr_risk_debug_pkg.dlog('fx_calculator: ' || 'delta spot ask', p_delta_spot_ask);
1157: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculating Delta Spot');
1158: END IF;
1159:
1160: -- fx forward rho
1161: IF (g_proc_level>=g_debug_level) THEN

Line 1162: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculating FX Rho');

1158: END IF;
1159:
1160: -- fx forward rho
1161: IF (g_proc_level>=g_debug_level) THEN
1162: xtr_risk_debug_pkg.dpush('fx_calculator: ' || 'Calculating FX Rho');
1163: END IF;
1164: p_rho := qrm_fx_formulas.fx_forward_rho(p_OUT => 'D',
1165: p_SPOT_RATE_BASE_BID => p_base_spot_bid,
1166: p_SPOT_RATE_BASE_ASK => p_base_spot_ask,

Line 1190: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculating FX Rho');

1186: p_rho_base_ask := p_rho(2);
1187: p_rho_contra_bid := p_rho(3);
1188: p_rho_contra_ask := p_rho(4);
1189: IF (g_proc_level>=g_debug_level) THEN
1190: xtr_risk_debug_pkg.dpop('fx_calculator: ' || 'Calculating FX Rho');
1191: END IF;
1192:
1193:
1194: p_varchar_args(1) := p_indicator;

Line 1249: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fx_calculator');

1245: p_num_args(31) := p_rho_contra_ask;
1246:
1247:
1248: IF (g_proc_level>=g_debug_level) THEN--bug3236479
1249: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fx_calculator');
1250: END IF;
1251: EXCEPTION
1252: WHEN e_no_int_rates THEN
1253: fnd_msg_pub.add;

Line 1255: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',

1251: EXCEPTION
1252: WHEN e_no_int_rates THEN
1253: fnd_msg_pub.add;
1254: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
1255: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',
1256: 'QRM_CALCULATORS_P.FX_CALCULATOR',G_ERROR_LEVEL);
1257: END IF;
1258: WHEN e_no_rate_curve THEN
1259: fnd_msg_pub.add;

Line 1261: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',

1257: END IF;
1258: WHEN e_no_rate_curve THEN
1259: fnd_msg_pub.add;
1260: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
1261: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',
1262: 'QRM_CALCULATORS_P.FX_CALCULATOR',G_ERROR_LEVEL);
1263: END IF;
1264: WHEN e_no_spot_rates THEN
1265: fnd_msg_pub.add;

Line 1267: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_SPOT_RATES',

1263: END IF;
1264: WHEN e_no_spot_rates THEN
1265: fnd_msg_pub.add;
1266: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
1267: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_SPOT_RATES',
1268: 'QRM_CALCULATORS_P.FX_CALCULATOR',G_ERROR_LEVEL);
1269: END IF;
1270:
1271: END fx_calculator;

Line 1306: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.get_curves_from_base');

1302:
1303:
1304: BEGIN
1305: IF (g_proc_level>=g_debug_level) THEN
1306: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.get_curves_from_base');
1307: END IF;
1308: if ((p_curve_types.count <> p_base_currencies.count) OR
1309: ((p_contra_currencies IS NOT null) AND
1310: ((p_base_currencies.count <> p_contra_currencies.count) OR

Line 1318: xtr_risk_debug_pkg.dlog('get_curves_from_base: ' || 'currency is', p_base_currencies(i));

1314: else
1315: v_curve_codes_table.extend(p_curve_types.count);
1316: FOR i IN 1..p_curve_types.count LOOP
1317: IF (g_proc_level>=g_debug_level) THEN
1318: xtr_risk_debug_pkg.dlog('get_curves_from_base: ' || 'currency is', p_base_currencies(i));
1319: END IF;
1320: if (p_curve_types(i) = 'FXVOL') then
1321: OPEN get_default_curve_fx(p_curve_types(i),
1322: p_base_currencies(i),

Line 1334: xtr_risk_debug_pkg.dlog('get_curves_from_base: ' || 'found fxvol curve', v_curve_code);

1330: else
1331: v_curve_codes_table(i) := v_curve_code;
1332: end if;
1333: IF (g_proc_level>=g_debug_level) THEN
1334: xtr_risk_debug_pkg.dlog('get_curves_from_base: ' || 'found fxvol curve', v_curve_code);
1335: END IF;
1336: CLOSE get_default_curve_fx;
1337: elsif ((p_curve_types(i) = 'YIELD') OR
1338: (p_curve_types(i) = 'IRVOL')) then

Line 1349: xtr_risk_debug_pkg.dlog('get_curves_from_base: ' || 'found yield/irvol curve', v_curve_code);

1345: else
1346: v_curve_codes_table(i) := v_curve_code;
1347: end if;
1348: IF (g_proc_level>=g_debug_level) THEN
1349: xtr_risk_debug_pkg.dlog('get_curves_from_base: ' || 'found yield/irvol curve', v_curve_code);
1350: END IF;
1351: CLOSE get_default_curve;
1352: end if;
1353: END LOOP;

Line 1355: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.get_curves_from_base');

1351: CLOSE get_default_curve;
1352: end if;
1353: END LOOP;
1354: IF (g_proc_level>=g_debug_level) THEN
1355: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.get_curves_from_base');
1356: END IF;
1357: return v_curve_codes_table;
1358: end if;
1359: END get_curves_from_base;

Line 1414: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.get_rates_from_curves');

1410: GROUP BY currency);
1411:
1412: BEGIN
1413: IF (g_proc_level>=g_debug_level) THEN
1414: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.get_rates_from_curves');
1415: END IF;
1416: IF (((p_curve_codes IS NOT null) AND
1417: (p_curve_codes.count <> v_table_size)) OR
1418: (p_rate_types.count <> v_table_size) OR

Line 1441: xtr_risk_debug_pkg.dpush('get_rates_from_curves: ' || 'calculating spot rate');

1437: v_sides_table.extend(p_rate_types.count);
1438: FOR i IN 1..p_rate_types.count LOOP
1439: if (p_rate_types(i)='SPOT') then
1440: IF (g_proc_level>=g_debug_level) THEN
1441: xtr_risk_debug_pkg.dpush('get_rates_from_curves: ' || 'calculating spot rate');
1442: END IF;
1443: -- it is spot taken by spot rate
1444: -- then do spot rate extraction
1445: IF (g_proc_level>=g_debug_level) THEN

Line 1446: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base currency',p_base_currencies(i));

1442: END IF;
1443: -- it is spot taken by spot rate
1444: -- then do spot rate extraction
1445: IF (g_proc_level>=g_debug_level) THEN
1446: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base currency',p_base_currencies(i));
1447: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote basis', p_currency_quote_basis);
1448: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote basis against usd',p_quote_bases(i));
1449: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side', p_data_sides(i));
1450: END IF;

Line 1447: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote basis', p_currency_quote_basis);

1443: -- it is spot taken by spot rate
1444: -- then do spot rate extraction
1445: IF (g_proc_level>=g_debug_level) THEN
1446: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base currency',p_base_currencies(i));
1447: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote basis', p_currency_quote_basis);
1448: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote basis against usd',p_quote_bases(i));
1449: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side', p_data_sides(i));
1450: END IF;
1451: OPEN get_fx_spot_rates(p_base_currencies(i));

Line 1448: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote basis against usd',p_quote_bases(i));

1444: -- then do spot rate extraction
1445: IF (g_proc_level>=g_debug_level) THEN
1446: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base currency',p_base_currencies(i));
1447: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote basis', p_currency_quote_basis);
1448: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote basis against usd',p_quote_bases(i));
1449: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side', p_data_sides(i));
1450: END IF;
1451: OPEN get_fx_spot_rates(p_base_currencies(i));
1452: FETCH get_fx_spot_rates INTO v_bid_rate_comm, v_ask_rate_comm,

Line 1449: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side', p_data_sides(i));

1445: IF (g_proc_level>=g_debug_level) THEN
1446: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base currency',p_base_currencies(i));
1447: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote basis', p_currency_quote_basis);
1448: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote basis against usd',p_quote_bases(i));
1449: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side', p_data_sides(i));
1450: END IF;
1451: OPEN get_fx_spot_rates(p_base_currencies(i));
1452: FETCH get_fx_spot_rates INTO v_bid_rate_comm, v_ask_rate_comm,
1453: v_bid_rate_base, v_ask_rate_base,

Line 1458: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'spot rates found',' ');

1454: v_ccy;
1455: if (get_fx_spot_rates%found) then
1456: ---logic for interpreting market data side of Spot Rates---
1457: IF (g_proc_level>=g_debug_level) THEN
1458: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'spot rates found',' ');
1459: END IF;
1460: if (p_currency_quote_basis = 'BID') then
1461: if (p_quote_bases(i) = 'C') then
1462: v_rates_table(i) := round(v_bid_rate_comm,v_rounding_factor);

Line 1464: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'commodity unit quote bid',v_bid_rate_comm);

1460: if (p_currency_quote_basis = 'BID') then
1461: if (p_quote_bases(i) = 'C') then
1462: v_rates_table(i) := round(v_bid_rate_comm,v_rounding_factor);
1463: IF (g_proc_level>=g_debug_level) THEN
1464: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'commodity unit quote bid',v_bid_rate_comm);
1465: END IF;
1466: elsif (p_quote_bases(i) = 'B') then
1467: v_rates_table(i) := round(v_bid_rate_base, v_rounding_factor);
1468: IF (g_proc_level>=g_debug_level) THEN

Line 1469: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base unit quote bid',v_bid_rate_base);

1465: END IF;
1466: elsif (p_quote_bases(i) = 'B') then
1467: v_rates_table(i) := round(v_bid_rate_base, v_rounding_factor);
1468: IF (g_proc_level>=g_debug_level) THEN
1469: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base unit quote bid',v_bid_rate_base);
1470: END IF;
1471: end if;
1472: elsif (p_currency_quote_basis = 'ASK') then
1473: if (p_quote_bases(i) = 'C') then

Line 1476: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'commodity unit quote ask',v_ask_rate_comm);

1472: elsif (p_currency_quote_basis = 'ASK') then
1473: if (p_quote_bases(i) = 'C') then
1474: v_rates_table(i) := round(v_ask_rate_comm, v_rounding_factor);
1475: IF (g_proc_level>=g_debug_level) THEN
1476: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'commodity unit quote ask',v_ask_rate_comm);
1477: END IF;
1478: elsif (p_quote_bases(i) = 'B') then
1479: v_rates_table(i) := round(v_ask_rate_base, v_rounding_factor);
1480: IF (g_proc_level>=g_debug_level) THEN

Line 1481: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base unit quote ask',v_ask_rate_base);

1477: END IF;
1478: elsif (p_quote_bases(i) = 'B') then
1479: v_rates_table(i) := round(v_ask_rate_base, v_rounding_factor);
1480: IF (g_proc_level>=g_debug_level) THEN
1481: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'base unit quote ask',v_ask_rate_base);
1482: END IF;
1483: end if;
1484: elsif (p_currency_quote_basis = 'MID') then
1485: if (p_quote_bases(i) = 'C') then

Line 1492: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote is bid/ask');

1488: v_rates_table(i) := round((v_bid_rate_base+v_ask_rate_base)/2, v_rounding_factor);
1489: end if;
1490: elsif (p_currency_quote_basis = 'BID/ASK') then
1491: IF (g_proc_level>=g_debug_level) THEN
1492: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote is bid/ask');
1493: END IF;
1494: if (p_quote_bases(i) = 'C') then
1495: IF (g_proc_level>=g_debug_level) THEN
1496: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote against usd is C');

Line 1496: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote against usd is C');

1492: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'currency quote is bid/ask');
1493: END IF;
1494: if (p_quote_bases(i) = 'C') then
1495: IF (g_proc_level>=g_debug_level) THEN
1496: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote against usd is C');
1497: END IF;
1498: if (p_data_sides(i) = 'BID') then
1499: v_rates_table(i) := round(v_bid_rate_comm, v_rounding_factor);
1500: IF (g_proc_level>=g_debug_level) THEN

Line 1501: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: commodity unit quote bid', v_bid_rate_comm);

1497: END IF;
1498: if (p_data_sides(i) = 'BID') then
1499: v_rates_table(i) := round(v_bid_rate_comm, v_rounding_factor);
1500: IF (g_proc_level>=g_debug_level) THEN
1501: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: commodity unit quote bid', v_bid_rate_comm);
1502: END IF;
1503: elsif (p_data_sides(i) = 'ASK') then
1504: v_rates_table(i) := round(v_ask_rate_comm, v_rounding_factor);
1505: IF (g_proc_level>=g_debug_level) THEN

Line 1506: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: commodity unit quote ask', v_ask_rate_comm);

1502: END IF;
1503: elsif (p_data_sides(i) = 'ASK') then
1504: v_rates_table(i) := round(v_ask_rate_comm, v_rounding_factor);
1505: IF (g_proc_level>=g_debug_level) THEN
1506: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: commodity unit quote ask', v_ask_rate_comm);
1507: END IF;
1508: end if;
1509: elsif (p_quote_bases(i) = 'B') then
1510: IF (g_proc_level>=g_debug_level) THEN

Line 1511: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote against usd is B');

1507: END IF;
1508: end if;
1509: elsif (p_quote_bases(i) = 'B') then
1510: IF (g_proc_level>=g_debug_level) THEN
1511: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'quote against usd is B');
1512: END IF;
1513: if (p_data_sides(i) = 'BID') then
1514: v_rates_table(i) := round(v_bid_rate_base, v_rounding_factor);
1515: IF (g_proc_level>=g_debug_level) THEN

Line 1516: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: base unit quote bid', v_bid_rate_base);

1512: END IF;
1513: if (p_data_sides(i) = 'BID') then
1514: v_rates_table(i) := round(v_bid_rate_base, v_rounding_factor);
1515: IF (g_proc_level>=g_debug_level) THEN
1516: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: base unit quote bid', v_bid_rate_base);
1517: END IF;
1518: elsif (p_data_sides(i) = 'ASK') then
1519: v_rates_table(i) := round(v_ask_rate_base, v_rounding_factor);
1520: IF (g_proc_level>=g_debug_level) THEN

Line 1521: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: base unit quote ask', v_bid_rate_base);

1517: END IF;
1518: elsif (p_data_sides(i) = 'ASK') then
1519: v_rates_table(i) := round(v_ask_rate_base, v_rounding_factor);
1520: IF (g_proc_level>=g_debug_level) THEN
1521: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'BID/ASK: base unit quote ask', v_bid_rate_base);
1522: END IF;
1523: end if;
1524: end if;
1525: end if;

Line 1534: xtr_risk_debug_pkg.dpop('get_rates_from_curves: ' || 'calculating spot rates');

1530: raise e_no_spot_rates;
1531: end if;
1532: CLOSE get_fx_spot_rates;
1533: IF (g_proc_level>=g_debug_level) THEN
1534: xtr_risk_debug_pkg.dpop('get_rates_from_curves: ' || 'calculating spot rates');
1535: END IF;
1536: -- not spot rate, then extract rate/vol from curve
1537: -- get interest rates/ volatilities for each curve
1538: elsif ((p_rate_types(i)='YIELD') OR

Line 1542: xtr_risk_debug_pkg.dpush('get_rates_from_curves: ' || 'calculating curve rates');

1538: elsif ((p_rate_types(i)='YIELD') OR
1539: (p_rate_types(i)='IRVOL') OR
1540: (p_rate_types(i)='FXVOL')) then
1541: IF (g_proc_level>=g_debug_level) THEN
1542: xtr_risk_debug_pkg.dpush('get_rates_from_curves: ' || 'calculating curve rates');
1543: END IF;
1544: -----logic for interpreting market data side of Int Rates----
1545: if (p_interest_quote_basis = 'BID') then
1546: v_sides_table(i) := 'B';

Line 1560: xtr_risk_debug_pkg.dpop('get_rates_from_curves: ' || 'calculating curve rates');

1556: end if;
1557: end if;
1558: ------------------------------------------------
1559: IF (g_proc_level>=g_debug_level) THEN
1560: xtr_risk_debug_pkg.dpop('get_rates_from_curves: ' || 'calculating curve rates');
1561: END IF;
1562: v_in_rec_type.p_curve_code := p_curve_codes(i);
1563: v_curve := p_curve_codes(i);
1564: IF (g_proc_level>=g_debug_level) THEN

Line 1565: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'curve code',p_curve_codes(i));

1561: END IF;
1562: v_in_rec_type.p_curve_code := p_curve_codes(i);
1563: v_curve := p_curve_codes(i);
1564: IF (g_proc_level>=g_debug_level) THEN
1565: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'curve code',p_curve_codes(i));
1566: END IF;
1567: v_in_rec_type.p_source := 'C';
1568: if (p_rate_types(i) = 'YIELD') then
1569: v_rate_type := 'Y';

Line 1576: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'indicator', v_rate_type);

1572: v_rate_type := 'V';
1573: end if;
1574: v_in_rec_type.p_indicator := v_rate_type;
1575: IF (g_proc_level>=g_debug_level) THEN
1576: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'indicator', v_rate_type);
1577: END IF;
1578: v_in_rec_type.p_spot_date := p_spot_date;
1579: IF (g_proc_level>=g_debug_level) THEN
1580: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'spot date', p_spot_date);

Line 1580: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'spot date', p_spot_date);

1576: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'indicator', v_rate_type);
1577: END IF;
1578: v_in_rec_type.p_spot_date := p_spot_date;
1579: IF (g_proc_level>=g_debug_level) THEN
1580: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'spot date', p_spot_date);
1581: END IF;
1582: v_in_rec_type.p_future_date := p_future_date;
1583: IF (g_proc_level>=g_debug_level) THEN
1584: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'future date', p_future_date);

Line 1584: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'future date', p_future_date);

1580: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'spot date', p_spot_date);
1581: END IF;
1582: v_in_rec_type.p_future_date := p_future_date;
1583: IF (g_proc_level>=g_debug_level) THEN
1584: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'future date', p_future_date);
1585: END IF;
1586: v_in_rec_type.p_day_count_basis_out := p_day_count_bases(i);
1587: IF (g_proc_level>=g_debug_level) THEN
1588: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'day count basis', p_day_count_bases(i));

Line 1588: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'day count basis', p_day_count_bases(i));

1584: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'future date', p_future_date);
1585: END IF;
1586: v_in_rec_type.p_day_count_basis_out := p_day_count_bases(i);
1587: IF (g_proc_level>=g_debug_level) THEN
1588: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'day count basis', p_day_count_bases(i));
1589: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'interest quote basis', p_interest_quote_basis);
1590: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side here',v_sides_table(i));
1591: END IF;
1592: v_in_rec_type.p_interpolation_method := p_interp_methods(i);

Line 1589: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'interest quote basis', p_interest_quote_basis);

1585: END IF;
1586: v_in_rec_type.p_day_count_basis_out := p_day_count_bases(i);
1587: IF (g_proc_level>=g_debug_level) THEN
1588: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'day count basis', p_day_count_bases(i));
1589: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'interest quote basis', p_interest_quote_basis);
1590: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side here',v_sides_table(i));
1591: END IF;
1592: v_in_rec_type.p_interpolation_method := p_interp_methods(i);
1593: IF (g_proc_level>=g_debug_level) THEN

Line 1590: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side here',v_sides_table(i));

1586: v_in_rec_type.p_day_count_basis_out := p_day_count_bases(i);
1587: IF (g_proc_level>=g_debug_level) THEN
1588: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'day count basis', p_day_count_bases(i));
1589: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'interest quote basis', p_interest_quote_basis);
1590: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side here',v_sides_table(i));
1591: END IF;
1592: v_in_rec_type.p_interpolation_method := p_interp_methods(i);
1593: IF (g_proc_level>=g_debug_level) THEN
1594: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'interpolation method',p_interp_methods(i));

Line 1594: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'interpolation method',p_interp_methods(i));

1590: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'data side here',v_sides_table(i));
1591: END IF;
1592: v_in_rec_type.p_interpolation_method := p_interp_methods(i);
1593: IF (g_proc_level>=g_debug_level) THEN
1594: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'interpolation method',p_interp_methods(i));
1595: END IF;
1596: v_in_rec_type.p_side := v_sides_table(i);
1597: v_in_rec_type.p_batch_id := null;
1598: IF (g_proc_level>=g_debug_level) THEN

Line 1599: xtr_risk_debug_pkg.dpush('get_rates_from_curves: ' || 'get md from curve');

1595: END IF;
1596: v_in_rec_type.p_side := v_sides_table(i);
1597: v_in_rec_type.p_batch_id := null;
1598: IF (g_proc_level>=g_debug_level) THEN
1599: xtr_risk_debug_pkg.dpush('get_rates_from_curves: ' || 'get md from curve');
1600: END IF;
1601: XTR_MARKET_DATA_P.get_md_from_curve(v_in_rec_type,
1602: v_out_rec_type);
1603: v_rates_table(i) := round(v_out_rec_type.p_md_out, v_rounding_factor);

Line 1605: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'got rate', v_rates_table(i));

1601: XTR_MARKET_DATA_P.get_md_from_curve(v_in_rec_type,
1602: v_out_rec_type);
1603: v_rates_table(i) := round(v_out_rec_type.p_md_out, v_rounding_factor);
1604: IF (g_proc_level>=g_debug_level) THEN
1605: xtr_risk_debug_pkg.dlog('get_rates_from_curves: ' || 'got rate', v_rates_table(i));
1606: END IF;
1607: end if;
1608: END LOOP;
1609: IF (g_proc_level>=g_debug_level) THEN

Line 1610: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.get_rates_from_curves');

1606: END IF;
1607: end if;
1608: END LOOP;
1609: IF (g_proc_level>=g_debug_level) THEN
1610: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.get_rates_from_curves');
1611: END IF;
1612: return v_rates_table;
1613: END IF;
1614:

Line 1621: xtr_risk_debug_pkg.dlog('EXCEPTION','QRM-CALC_NO_DEFAULT_INT_ERR',

1617: if (v_rate_type = 'Y') then
1618: FND_MESSAGE.SET_NAME('QRM','QRM_CALC_NO_DEFAULT_INT_ERR');
1619: FND_MESSAGE.SET_TOKEN('CURVE',v_curve);
1620: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
1621: xtr_risk_debug_pkg.dlog('EXCEPTION','QRM-CALC_NO_DEFAULT_INT_ERR',
1622: 'QRM_CALCULATORS_P.GET_RATES_FROM_CURVE',G_ERROR_LEVEL);
1623: END IF;
1624: raise e_no_int_rates;
1625: else

Line 1629: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_VOL_RATES',

1625: else
1626: FND_MESSAGE.SET_NAME('QRM','QRM_CALC_NO_DEFAULT_VOL_ERR');
1627: FND_MESSAGE.SET_TOKEN('CURVE',v_curve);
1628: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
1629: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_VOL_RATES',
1630: 'QRM_CALCULATORS_P.GET_RATES_FROM_CURVES',G_ERROR_LEVEL);
1631: END IF;
1632: raise e_no_vol_rates;
1633: end if;

Line 1665: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.get_rates_from_base');

1661:
1662: v_table_size number := p_rate_types.count;
1663: BEGIN
1664: IF (g_proc_level>=g_debug_level) THEN
1665: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.get_rates_from_base');
1666: END IF;
1667: if ((p_base_currencies.count <> v_table_size) OR
1668: ((p_contra_currencies IS NOT null) AND
1669: (p_contra_currencies.count <> v_table_size)) OR

Line 1704: xtr_risk_debug_pkg.dlog('get_rates_from_base: ' || 'curve code', v_curve(1));

1700: v_base_ccy,
1701: v_contra_ccy);
1702: v_curves_table(i) := v_curve(1);
1703: IF (g_proc_level>=g_debug_level) THEN
1704: xtr_risk_debug_pkg.dlog('get_rates_from_base: ' || 'curve code', v_curve(1));
1705: END IF;
1706:
1707: elsif (p_rate_types(i) = 'SPOT') then
1708: -- do spot rate extraction here

Line 1736: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.get_rates_from_base');

1732: p_spot_date,
1733: p_future_date);
1734:
1735: IF (g_proc_level>=g_debug_level) THEN
1736: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.get_rates_from_base');
1737: END IF;
1738: return v_rates_table;
1739: end if;
1740: END get_rates_from_base;

Line 1867: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');

1863: SYSTEM.QRM_VARCHAR_TABLE(p_day_count_basis,p_day_count_basis);
1864: v_rates XTR_MD_NUM_TABLE := XTR_MD_NUM_TABLE();
1865: v_default_curve SYSTEM.QRM_VARCHAR_TABLE;
1866: BEGIN
1867: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');
1868: --xtr_risk_debug_pkg.start_debug;
1869: IF (g_proc_level>=g_debug_level) THEN
1870: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_pricing');
1871: END IF;

Line 1868: --xtr_risk_debug_pkg.start_debug;

1864: v_rates XTR_MD_NUM_TABLE := XTR_MD_NUM_TABLE();
1865: v_default_curve SYSTEM.QRM_VARCHAR_TABLE;
1866: BEGIN
1867: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');
1868: --xtr_risk_debug_pkg.start_debug;
1869: IF (g_proc_level>=g_debug_level) THEN
1870: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_pricing');
1871: END IF;
1872: --if any errors were added before, remove it

Line 1870: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_pricing');

1866: BEGIN
1867: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');
1868: --xtr_risk_debug_pkg.start_debug;
1869: IF (g_proc_level>=g_debug_level) THEN
1870: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_pricing');
1871: END IF;
1872: --if any errors were added before, remove it
1873: IF fnd_msg_pub.count_msg > 0 THEN
1874: fnd_msg_pub.Initialize;

Line 1881: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_indicator',p_indicator);

1877: v_settlement_date:= p_settlement_date;
1878: v_maturity_date:= p_maturity_date;
1879: v_spot_date:= p_spot_date;
1880: IF (g_proc_level>=g_debug_level) THEN
1881: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_indicator',p_indicator);
1882: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_settlement_date',v_settlement_date);
1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);
1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);

Line 1882: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_settlement_date',v_settlement_date);

1878: v_maturity_date:= p_maturity_date;
1879: v_spot_date:= p_spot_date;
1880: IF (g_proc_level>=g_debug_level) THEN
1881: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_indicator',p_indicator);
1882: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_settlement_date',v_settlement_date);
1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);
1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);

Line 1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);

1879: v_spot_date:= p_spot_date;
1880: IF (g_proc_level>=g_debug_level) THEN
1881: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_indicator',p_indicator);
1882: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_settlement_date',v_settlement_date);
1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);
1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);

Line 1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);

1880: IF (g_proc_level>=g_debug_level) THEN
1881: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_indicator',p_indicator);
1882: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_settlement_date',v_settlement_date);
1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);
1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);

Line 1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);

1881: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_indicator',p_indicator);
1882: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_settlement_date',v_settlement_date);
1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);
1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);

Line 1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);

1882: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_settlement_date',v_settlement_date);
1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);
1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);

Line 1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);

1883: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'v_maturity_date',v_maturity_date);
1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1891: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);

Line 1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);

1884: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'p_day_count_basis',p_day_count_basis);
1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1891: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1892: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);

Line 1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);

1885: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot_date',v_spot_date);
1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1891: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1892: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1893: END IF;

Line 1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);

1886: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'rate curve',p_rate_curve);
1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1891: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1892: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1893: END IF;
1894: IF p_indicator = 'NR' or p_indicator = 'NC' THEN

Line 1891: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);

1887: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'quote basis',p_quote_basis);
1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1891: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1892: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1893: END IF;
1894: IF p_indicator = 'NR' or p_indicator = 'NC' THEN
1895: --default a curve

Line 1892: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);

1888: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'interpolation',p_interpolation);
1889: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1890: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1891: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1892: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1893: END IF;
1894: IF p_indicator = 'NR' or p_indicator = 'NC' THEN
1895: --default a curve
1896: --get the treasury reporting currency

Line 1899: --xtr_risk_debug_pkg.dlog('default curve',p_rate_curve);

1895: --default a curve
1896: --get the treasury reporting currency
1897: open default_currency_cursor;
1898: fetch default_currency_cursor into v_base_currency(1);
1899: --xtr_risk_debug_pkg.dlog('default curve',p_rate_curve);
1900: close default_currency_cursor;
1901: --get the default curve that belong to the treasury reporting currency
1902: v_default_curve:=get_curves_from_base(v_curve_type,v_base_currency,null);
1903: p_rate_curve:=v_default_curve(1);

Line 1919: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',v_rates(1));

1915: v_rates:=get_rates_from_base(v_curve_type,
1916: v_base_currency, null,null,v_interpolation,v_data_side,v_day_count_basis,
1917: v_quote_basis,null, p_spot_date,p_settlement_date);
1918: IF (g_proc_level>=g_debug_level) THEN
1919: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',v_rates(1));
1920: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',v_rates(2));
1921: END IF;
1922: IF v_ss_bid is null or p_indicator = 'NC' THEN
1923: p_ss_bid := v_rates(1);

Line 1920: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',v_rates(2));

1916: v_base_currency, null,null,v_interpolation,v_data_side,v_day_count_basis,
1917: v_quote_basis,null, p_spot_date,p_settlement_date);
1918: IF (g_proc_level>=g_debug_level) THEN
1919: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',v_rates(1));
1920: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',v_rates(2));
1921: END IF;
1922: IF v_ss_bid is null or p_indicator = 'NC' THEN
1923: p_ss_bid := v_rates(1);
1924: END IF;

Line 1935: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',v_rates(1));

1931: v_rates:=get_rates_from_base(v_curve_type,
1932: v_base_currency, null,null,v_interpolation,v_data_side,v_day_count_basis,
1933: v_quote_basis,null, p_spot_date,p_maturity_date);
1934: IF (g_proc_level>=g_debug_level) THEN
1935: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',v_rates(1));
1936: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',v_rates(2));
1937: END IF;
1938: IF v_sm_bid is null or p_indicator = 'NC' THEN
1939: p_sm_bid := v_rates(1);

Line 1936: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',v_rates(2));

1932: v_base_currency, null,null,v_interpolation,v_data_side,v_day_count_basis,
1933: v_quote_basis,null, p_spot_date,p_maturity_date);
1934: IF (g_proc_level>=g_debug_level) THEN
1935: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',v_rates(1));
1936: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',v_rates(2));
1937: END IF;
1938: IF v_sm_bid is null or p_indicator = 'NC' THEN
1939: p_sm_bid := v_rates(1);
1940: END IF;

Line 1987: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);

1983: v_spot_settlement,v_year_count);
1984: XTR_CALC_P.calc_days_run_c(v_spot_date,v_maturity_date,p_day_count_basis,null
1985: ,v_spot_maturity,v_year_count);
1986: IF (g_proc_level>=g_debug_level) THEN
1987: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1988: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);

Line 1988: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);

1984: XTR_CALC_P.calc_days_run_c(v_spot_date,v_maturity_date,p_day_count_basis,null
1985: ,v_spot_maturity,v_year_count);
1986: IF (g_proc_level>=g_debug_level) THEN
1987: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1988: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);
1992: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot settlement',v_spot_settlement);

Line 1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);

1985: ,v_spot_maturity,v_year_count);
1986: IF (g_proc_level>=g_debug_level) THEN
1987: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1988: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);
1992: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot settlement',v_spot_settlement);
1993: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'year count',v_year_count);

Line 1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);

1986: IF (g_proc_level>=g_debug_level) THEN
1987: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1988: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);
1992: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot settlement',v_spot_settlement);
1993: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'year count',v_year_count);
1994: END IF;

Line 1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);

1987: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
1988: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);
1992: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot settlement',v_spot_settlement);
1993: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'year count',v_year_count);
1994: END IF;
1995:

Line 1992: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot settlement',v_spot_settlement);

1988: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);
1992: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot settlement',v_spot_settlement);
1993: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'year count',v_year_count);
1994: END IF;
1995:
1996: v_fra_rec_in.p_indicator:= 'Y';

Line 1993: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'year count',v_year_count);

1989: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
1990: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
1991: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot maturity',v_spot_maturity);
1992: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'spot settlement',v_spot_settlement);
1993: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'year count',v_year_count);
1994: END IF;
1995:
1996: v_fra_rec_in.p_indicator:= 'Y';
1997: v_fra_rec_in.p_t:=v_spot_settlement;

Line 2019: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);

2015:
2016: XTR_MM_COVERS.interest_forward_rate(v_fra_rec_in,v_fra_rec_out);
2017: p_contract_rate_ask:=v_fra_rec_out.p_fra_rate;
2018: IF (g_proc_level>=g_debug_level) THEN
2019: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
2020: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);

Line 2020: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);

2016: XTR_MM_COVERS.interest_forward_rate(v_fra_rec_in,v_fra_rec_out);
2017: p_contract_rate_ask:=v_fra_rec_out.p_fra_rate;
2018: IF (g_proc_level>=g_debug_level) THEN
2019: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
2020: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);
2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);

Line 2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);

2017: p_contract_rate_ask:=v_fra_rec_out.p_fra_rate;
2018: IF (g_proc_level>=g_debug_level) THEN
2019: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
2020: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);
2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);
2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');

Line 2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);

2018: IF (g_proc_level>=g_debug_level) THEN
2019: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
2020: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);
2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);
2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');
2026: END IF;

Line 2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);

2019: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss bid',p_ss_bid);
2020: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);
2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);
2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');
2026: END IF;
2027: --xtr_risk_debug_pkg.stop_debug;

Line 2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);

2020: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'ss ask',p_ss_ask);
2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);
2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);
2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');
2026: END IF;
2027: --xtr_risk_debug_pkg.stop_debug;
2028: IF (g_proc_level>=g_debug_level) THEN

Line 2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');

2021: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm bid',p_sm_bid);
2022: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'sm ask',p_sm_ask);
2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);
2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);
2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');
2026: END IF;
2027: --xtr_risk_debug_pkg.stop_debug;
2028: IF (g_proc_level>=g_debug_level) THEN
2029: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fra_pricing');

Line 2027: --xtr_risk_debug_pkg.stop_debug;

2023: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract bid',p_contract_rate_bid);
2024: xtr_risk_debug_pkg.dlog('fra_pricing: ' || 'contract ask',p_contract_rate_ask);
2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');
2026: END IF;
2027: --xtr_risk_debug_pkg.stop_debug;
2028: IF (g_proc_level>=g_debug_level) THEN
2029: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fra_pricing');
2030: END IF;
2031: EXCEPTION

Line 2029: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fra_pricing');

2025: xtr_risk_debug_pkg.dpop('fra_pricing: ' || 'pricing cover');
2026: END IF;
2027: --xtr_risk_debug_pkg.stop_debug;
2028: IF (g_proc_level>=g_debug_level) THEN
2029: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fra_pricing');
2030: END IF;
2031: EXCEPTION
2032: WHEN e_no_rate_curve THEN
2033: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479

Line 2034: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',

2030: END IF;
2031: EXCEPTION
2032: WHEN e_no_rate_curve THEN
2033: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
2034: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',
2035: 'QRM_CALCULATORS_P.FRA_PRICING',G_ERROR_LEVEL);
2036: END IF;
2037: fnd_msg_pub.add;
2038: WHEN e_no_int_rates THEN

Line 2040: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',

2036: END IF;
2037: fnd_msg_pub.add;
2038: WHEN e_no_int_rates THEN
2039: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
2040: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',
2041: 'QRM_CALCULATORS_P.FRA_PRICING',G_ERROR_LEVEL);
2042: END IF;
2043: fnd_msg_pub.add;
2044: END fra_pricing;

Line 2116: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');

2112: v_contract_rate_bid NUMBER;
2113: v_contract_rate_ask NUMBER;
2114: v_rounding_factor NUMBER := 6;
2115: BEGIN
2116: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');
2117: --xtr_risk_debug_pkg.start_debug;
2118: IF (g_proc_level>=g_debug_level) THEN
2119: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_settlement');
2120: END IF;

Line 2117: --xtr_risk_debug_pkg.start_debug;

2113: v_contract_rate_ask NUMBER;
2114: v_rounding_factor NUMBER := 6;
2115: BEGIN
2116: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');
2117: --xtr_risk_debug_pkg.start_debug;
2118: IF (g_proc_level>=g_debug_level) THEN
2119: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_settlement');
2120: END IF;
2121: --if any errors were added before, remove it

Line 2119: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_settlement');

2115: BEGIN
2116: --xtr_risk_debug_pkg.start_debug('/sqlcom/out/findv11i','sktest.dbg');
2117: --xtr_risk_debug_pkg.start_debug;
2118: IF (g_proc_level>=g_debug_level) THEN
2119: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fra_settlement');
2120: END IF;
2121: --if any errors were added before, remove it
2122: IF fnd_msg_pub.count_msg > 0 THEN
2123: fnd_msg_pub.Initialize;

Line 2132: /*xtr_risk_debug_pkg.dlog('p_indicator',p_indicator);

2128:
2129: v_spot_date := trunc(sysdate);
2130:
2131:
2132: /*xtr_risk_debug_pkg.dlog('p_indicator',p_indicator);
2133: IF (g_proc_level>=g_debug_level) THEN
2134: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'v_maturity_date',v_maturity_date);
2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);
2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);

Line 2134: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'v_maturity_date',v_maturity_date);

2130:
2131:
2132: /*xtr_risk_debug_pkg.dlog('p_indicator',p_indicator);
2133: IF (g_proc_level>=g_debug_level) THEN
2134: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'v_maturity_date',v_maturity_date);
2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);
2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);

Line 2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);

2131:
2132: /*xtr_risk_debug_pkg.dlog('p_indicator',p_indicator);
2133: IF (g_proc_level>=g_debug_level) THEN
2134: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'v_maturity_date',v_maturity_date);
2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);
2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);

Line 2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);

2132: /*xtr_risk_debug_pkg.dlog('p_indicator',p_indicator);
2133: IF (g_proc_level>=g_debug_level) THEN
2134: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'v_maturity_date',v_maturity_date);
2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);
2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);

Line 2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);

2133: IF (g_proc_level>=g_debug_level) THEN
2134: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'v_maturity_date',v_maturity_date);
2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);
2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);
2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);

Line 2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);

2134: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'v_maturity_date',v_maturity_date);
2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);
2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);
2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2142: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);

Line 2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);

2135: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'p_day_count_basis',p_day_count_basis);
2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);
2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2142: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2143: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);

Line 2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);

2136: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);
2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2142: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2143: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2144: END IF;*/

Line 2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);

2137: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'rate curve',p_rate_curve);
2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);
2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2142: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2143: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2144: END IF;*/
2145: IF p_currency is NULL THEN

Line 2142: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);

2138: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);
2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2142: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2143: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2144: END IF;*/
2145: IF p_currency is NULL THEN
2146: --get the treasury reporting currency if no currency is specified

Line 2143: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);

2139: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interpolation',p_interpolation);
2140: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',p_ss_bid);
2141: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2142: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2143: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2144: END IF;*/
2145: IF p_currency is NULL THEN
2146: --get the treasury reporting currency if no currency is specified
2147: open default_currency_cursor;

Line 2149: --xtr_risk_debug_pkg.dlog('default curve',p_rate_curve);

2145: IF p_currency is NULL THEN
2146: --get the treasury reporting currency if no currency is specified
2147: open default_currency_cursor;
2148: fetch default_currency_cursor into v_base_currency(1);
2149: --xtr_risk_debug_pkg.dlog('default curve',p_rate_curve);
2150: close default_currency_cursor;
2151: ELSE
2152: v_base_currency(1):=p_currency;
2153: END IF;

Line 2167: --xtr_risk_debug_pkg.dlog('ss bid',v_rates(1));

2163: v_rates:=get_rates_from_base(v_curve_type,
2164: v_base_currency, null,null,v_interpolation,v_data_side,
2165: v_day_count_basis,v_quote_basis,null, v_settlement_date,
2166: p_maturity_date);
2167: --xtr_risk_debug_pkg.dlog('ss bid',v_rates(1));
2168: --xtr_risk_debug_pkg.dlog('ss ask',v_rates(2));
2169: p_settlement_rate:=v_rates(1);
2170: ELSE --calculate forward-forward rate
2171: IF (g_proc_level>=g_debug_level) THEN

Line 2168: --xtr_risk_debug_pkg.dlog('ss ask',v_rates(2));

2164: v_base_currency, null,null,v_interpolation,v_data_side,
2165: v_day_count_basis,v_quote_basis,null, v_settlement_date,
2166: p_maturity_date);
2167: --xtr_risk_debug_pkg.dlog('ss bid',v_rates(1));
2168: --xtr_risk_debug_pkg.dlog('ss ask',v_rates(2));
2169: p_settlement_rate:=v_rates(1);
2170: ELSE --calculate forward-forward rate
2171: IF (g_proc_level>=g_debug_level) THEN
2172: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);

Line 2172: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);

2168: --xtr_risk_debug_pkg.dlog('ss ask',v_rates(2));
2169: p_settlement_rate:=v_rates(1);
2170: ELSE --calculate forward-forward rate
2171: IF (g_proc_level>=g_debug_level) THEN
2172: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2173: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);

Line 2173: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);

2169: p_settlement_rate:=v_rates(1);
2170: ELSE --calculate forward-forward rate
2171: IF (g_proc_level>=g_debug_level) THEN
2172: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2173: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);

Line 2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);

2170: ELSE --calculate forward-forward rate
2171: IF (g_proc_level>=g_debug_level) THEN
2172: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2173: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);

Line 2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);

2171: IF (g_proc_level>=g_debug_level) THEN
2172: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2173: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);

Line 2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);

2172: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2173: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);

Line 2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);

2173: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2181: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);

Line 2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);

2174: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2181: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2182: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);

Line 2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);

2175: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2181: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2182: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2183: END IF;

Line 2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);

2176: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2181: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2182: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2183: END IF;
2184: fra_pricing('CC',p_settlement_date,p_maturity_date,p_day_count_basis,

Line 2181: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);

2177: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2181: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2182: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2183: END IF;
2184: fra_pricing('CC',p_settlement_date,p_maturity_date,p_day_count_basis,
2185: v_spot_date,p_rate_curve,p_quote_basis,p_interpolation,v_ss_bid,

Line 2182: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);

2178: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2179: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2180: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2181: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2182: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2183: END IF;
2184: fra_pricing('CC',p_settlement_date,p_maturity_date,p_day_count_basis,
2185: v_spot_date,p_rate_curve,p_quote_basis,p_interpolation,v_ss_bid,
2186: v_ss_ask,v_sm_bid,v_sm_ask,v_holding_period,v_adjusted_holding_period,

Line 2213: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);

2209: p_maturity_date);*/
2210: p_settlement_rate:=v_rates(1);
2211: ELSE --calculate forward-forward rate
2212: IF (g_proc_level>=g_debug_level) THEN
2213: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2214: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);

Line 2214: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);

2210: p_settlement_rate:=v_rates(1);
2211: ELSE --calculate forward-forward rate
2212: IF (g_proc_level>=g_debug_level) THEN
2213: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2214: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);

Line 2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);

2211: ELSE --calculate forward-forward rate
2212: IF (g_proc_level>=g_debug_level) THEN
2213: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2214: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);

Line 2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);

2212: IF (g_proc_level>=g_debug_level) THEN
2213: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2214: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);

Line 2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);

2213: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle date',p_settlement_date);
2214: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);

Line 2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);

2214: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'maturity date',p_maturity_date);
2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2222: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);

Line 2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);

2215: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'day count',p_day_count_basis);
2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2222: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2223: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);

Line 2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);

2216: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot date',v_spot_date);
2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2222: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2223: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2224: END IF;

Line 2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);

2217: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'curve',p_rate_curve);
2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2222: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2223: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2224: END IF;
2225: fra_pricing('CC',p_settlement_date,p_maturity_date,p_day_count_basis,

Line 2222: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);

2218: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'quote basis',p_quote_basis);
2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2222: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2223: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2224: END IF;
2225: fra_pricing('CC',p_settlement_date,p_maturity_date,p_day_count_basis,
2226: v_spot_date,p_rate_curve,p_quote_basis,p_interpolation,v_ss_bid,

Line 2223: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);

2219: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'interp',p_interpolation);
2220: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss bid',v_ss_bid);
2221: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',v_ss_ask);
2222: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',v_sm_bid);
2223: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',v_sm_ask);
2224: END IF;
2225: fra_pricing('CC',p_settlement_date,p_maturity_date,p_day_count_basis,
2226: v_spot_date,p_rate_curve,p_quote_basis,p_interpolation,v_ss_bid,
2227: v_ss_ask,v_sm_bid,v_sm_ask,v_holding_period,v_adjusted_holding_period,

Line 2249: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'calc method',p_calculation_method);

2245: p_day_count_basis,null,p_adjusted_holding_period,v_year_count);
2246: --calculate settlement amount
2247: v_settlement_maturity:= p_adjusted_holding_period;
2248: IF (g_proc_level>=g_debug_level) THEN
2249: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'calc method',p_calculation_method);
2250: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle rate',p_settlement_rate);
2251: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract rate',p_contract_rate);
2252: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'face value',p_face_value);
2253: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement maturity',v_settlement_maturity);

Line 2250: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle rate',p_settlement_rate);

2246: --calculate settlement amount
2247: v_settlement_maturity:= p_adjusted_holding_period;
2248: IF (g_proc_level>=g_debug_level) THEN
2249: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'calc method',p_calculation_method);
2250: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle rate',p_settlement_rate);
2251: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract rate',p_contract_rate);
2252: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'face value',p_face_value);
2253: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement maturity',v_settlement_maturity);
2254: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);

Line 2251: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract rate',p_contract_rate);

2247: v_settlement_maturity:= p_adjusted_holding_period;
2248: IF (g_proc_level>=g_debug_level) THEN
2249: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'calc method',p_calculation_method);
2250: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle rate',p_settlement_rate);
2251: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract rate',p_contract_rate);
2252: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'face value',p_face_value);
2253: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement maturity',v_settlement_maturity);
2254: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);
2255: END IF;

Line 2252: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'face value',p_face_value);

2248: IF (g_proc_level>=g_debug_level) THEN
2249: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'calc method',p_calculation_method);
2250: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle rate',p_settlement_rate);
2251: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract rate',p_contract_rate);
2252: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'face value',p_face_value);
2253: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement maturity',v_settlement_maturity);
2254: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);
2255: END IF;
2256:

Line 2253: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement maturity',v_settlement_maturity);

2249: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'calc method',p_calculation_method);
2250: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle rate',p_settlement_rate);
2251: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract rate',p_contract_rate);
2252: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'face value',p_face_value);
2253: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement maturity',v_settlement_maturity);
2254: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);
2255: END IF;
2256:
2257: v_fra_rec_in.p_indicator:= p_calculation_method;

Line 2254: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);

2250: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle rate',p_settlement_rate);
2251: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract rate',p_contract_rate);
2252: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'face value',p_face_value);
2253: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement maturity',v_settlement_maturity);
2254: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);
2255: END IF;
2256:
2257: v_fra_rec_in.p_indicator:= p_calculation_method;
2258: v_fra_rec_in.p_fra_price:= p_contract_rate;

Line 2270: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle amount',p_settlement_amount);

2266:
2267: XTR_MM_COVERS.fra_settlement_amount(v_fra_rec_in,v_fra_rec_out);
2268: p_settlement_amount:=v_fra_rec_out.p_settlement_amount;
2269: IF (g_proc_level>=g_debug_level) THEN
2270: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settle amount',p_settlement_amount);
2271: END IF;
2272: --calculate sensitivities of fra
2273: IF v_spot_date< v_settlement_date THEN
2274: -- first, calculate duration

Line 2278: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);

2274: -- first, calculate duration
2275: XTR_CALC_P.calc_days_run_c(v_spot_date,v_settlement_date,p_day_count_basis,
2276: null,v_spot_settlement,v_year_count);
2277: IF (g_proc_level>=g_debug_level) THEN
2278: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2279: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement_date',v_settlement_date);
2280: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_settlement',v_spot_settlement);
2281: END IF;
2282: v_days_array.extend;

Line 2279: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement_date',v_settlement_date);

2275: XTR_CALC_P.calc_days_run_c(v_spot_date,v_settlement_date,p_day_count_basis,
2276: null,v_spot_settlement,v_year_count);
2277: IF (g_proc_level>=g_debug_level) THEN
2278: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2279: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement_date',v_settlement_date);
2280: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_settlement',v_spot_settlement);
2281: END IF;
2282: v_days_array.extend;
2283: v_days_array(1):=v_spot_settlement;

Line 2280: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_settlement',v_spot_settlement);

2276: null,v_spot_settlement,v_year_count);
2277: IF (g_proc_level>=g_debug_level) THEN
2278: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_date',v_spot_date);
2279: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement_date',v_settlement_date);
2280: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'spot_settlement',v_spot_settlement);
2281: END IF;
2282: v_days_array.extend;
2283: v_days_array(1):=v_spot_settlement;
2284: v_pvc_array.extend;

Line 2288: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);

2284: v_pvc_array.extend;
2285: v_pvc_array(1):=1;
2286: p_duration:=QRM_MM_FORMULAS.duration(v_pvc_array,v_days_array,v_year_count);
2287: IF (g_proc_level>=g_debug_level) THEN
2288: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);
2289: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'duration',p_duration);
2290: END IF;
2291: --secondly, calculate convexity
2292: p_convexity:=QRM_MM_FORMULAS.ni_fra_convexity(v_spot_settlement,

Line 2289: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'duration',p_duration);

2285: v_pvc_array(1):=1;
2286: p_duration:=QRM_MM_FORMULAS.duration(v_pvc_array,v_days_array,v_year_count);
2287: IF (g_proc_level>=g_debug_level) THEN
2288: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'year count',v_year_count);
2289: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'duration',p_duration);
2290: END IF;
2291: --secondly, calculate convexity
2292: p_convexity:=QRM_MM_FORMULAS.ni_fra_convexity(v_spot_settlement,
2293: p_settlement_rate,v_year_count);

Line 2295: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement rate',p_settlement_rate);

2291: --secondly, calculate convexity
2292: p_convexity:=QRM_MM_FORMULAS.ni_fra_convexity(v_spot_settlement,
2293: p_settlement_rate,v_year_count);
2294: IF (g_proc_level>=g_debug_level) THEN
2295: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement rate',p_settlement_rate);
2296: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'convexity',p_convexity);
2297: END IF;
2298: -- lastly, calculate bpv
2299: --calculate shifted settlement

Line 2296: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'convexity',p_convexity);

2292: p_convexity:=QRM_MM_FORMULAS.ni_fra_convexity(v_spot_settlement,
2293: p_settlement_rate,v_year_count);
2294: IF (g_proc_level>=g_debug_level) THEN
2295: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'settlement rate',p_settlement_rate);
2296: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'convexity',p_convexity);
2297: END IF;
2298: -- lastly, calculate bpv
2299: --calculate shifted settlement
2300: v_fra_rec_in.p_settlement_rate:=p_settlement_rate+0.01;

Line 2305: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'shifted',v_fra_rec_out.p_settlement_amount);

2301: XTR_MM_COVERS.fra_settlement_amount(v_fra_rec_in,v_fra_rec_out);
2302: p_basis_point_value:=QRM_MM_FORMULAS.bpv(p_settlement_amount,
2303: v_fra_rec_out.p_settlement_amount);
2304: IF (g_proc_level>=g_debug_level) THEN
2305: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'shifted',v_fra_rec_out.p_settlement_amount);
2306: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'base',p_settlement_amount);
2307: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'bpv',p_basis_point_value);
2308: END IF;
2309: END IF;

Line 2306: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'base',p_settlement_amount);

2302: p_basis_point_value:=QRM_MM_FORMULAS.bpv(p_settlement_amount,
2303: v_fra_rec_out.p_settlement_amount);
2304: IF (g_proc_level>=g_debug_level) THEN
2305: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'shifted',v_fra_rec_out.p_settlement_amount);
2306: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'base',p_settlement_amount);
2307: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'bpv',p_basis_point_value);
2308: END IF;
2309: END IF;
2310: --determine pay or receive

Line 2307: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'bpv',p_basis_point_value);

2303: v_fra_rec_out.p_settlement_amount);
2304: IF (g_proc_level>=g_debug_level) THEN
2305: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'shifted',v_fra_rec_out.p_settlement_amount);
2306: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'base',p_settlement_amount);
2307: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'bpv',p_basis_point_value);
2308: END IF;
2309: END IF;
2310: --determine pay or receive
2311: IF p_deal_subtype = 'FUND' THEN

Line 2328: /*xtr_risk_debug_pkg.dlog('ss bid',p_ss_bid);

2324: ELSE
2325: p_action:=null;
2326: END IF;
2327: END IF;
2328: /*xtr_risk_debug_pkg.dlog('ss bid',p_ss_bid);
2329: IF (g_proc_level>=g_debug_level) THEN
2330: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2331: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);

Line 2330: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);

2326: END IF;
2327: END IF;
2328: /*xtr_risk_debug_pkg.dlog('ss bid',p_ss_bid);
2329: IF (g_proc_level>=g_debug_level) THEN
2330: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2331: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2333: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract bid',p_contract_rate_bid);
2334: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract ask',p_contract_rate_ask);

Line 2331: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);

2327: END IF;
2328: /*xtr_risk_debug_pkg.dlog('ss bid',p_ss_bid);
2329: IF (g_proc_level>=g_debug_level) THEN
2330: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2331: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2333: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract bid',p_contract_rate_bid);
2334: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract ask',p_contract_rate_ask);
2335: END IF;*/

Line 2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);

2328: /*xtr_risk_debug_pkg.dlog('ss bid',p_ss_bid);
2329: IF (g_proc_level>=g_debug_level) THEN
2330: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2331: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2333: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract bid',p_contract_rate_bid);
2334: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract ask',p_contract_rate_ask);
2335: END IF;*/
2336: --xtr_risk_debug_pkg.stop_debug;

Line 2333: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract bid',p_contract_rate_bid);

2329: IF (g_proc_level>=g_debug_level) THEN
2330: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2331: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2333: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract bid',p_contract_rate_bid);
2334: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract ask',p_contract_rate_ask);
2335: END IF;*/
2336: --xtr_risk_debug_pkg.stop_debug;
2337: --return currency if it wasn't provided

Line 2334: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract ask',p_contract_rate_ask);

2330: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'ss ask',p_ss_ask);
2331: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm bid',p_sm_bid);
2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2333: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract bid',p_contract_rate_bid);
2334: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract ask',p_contract_rate_ask);
2335: END IF;*/
2336: --xtr_risk_debug_pkg.stop_debug;
2337: --return currency if it wasn't provided
2338: IF p_currency is NULL THEN

Line 2336: --xtr_risk_debug_pkg.stop_debug;

2332: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'sm ask',p_sm_ask);
2333: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract bid',p_contract_rate_bid);
2334: xtr_risk_debug_pkg.dlog('fra_settlement: ' || 'contract ask',p_contract_rate_ask);
2335: END IF;*/
2336: --xtr_risk_debug_pkg.stop_debug;
2337: --return currency if it wasn't provided
2338: IF p_currency is NULL THEN
2339: p_currency:= v_base_currency(1);
2340: END IF;

Line 2342: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fra_settlement');

2338: IF p_currency is NULL THEN
2339: p_currency:= v_base_currency(1);
2340: END IF;
2341: IF (g_proc_level>=g_debug_level) THEN
2342: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fra_settlement');
2343: END IF;
2344: EXCEPTION
2345: WHEN e_no_rate_curve THEN
2346: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479

Line 2347: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',

2343: END IF;
2344: EXCEPTION
2345: WHEN e_no_rate_curve THEN
2346: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
2347: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',
2348: 'QRM_CALCULATORS_P.FRA_SETTLEMENT',G_ERROR_LEVEL);
2349: END IF;
2350: fnd_msg_pub.add;
2351: WHEN e_no_int_rates THEN

Line 2353: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',

2349: END IF;
2350: fnd_msg_pub.add;
2351: WHEN e_no_int_rates THEN
2352: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
2353: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',
2354: 'QRM_CALCULATORS_P.FRA_SETTLEMENT',G_ERROR_LEVEL);
2355: END IF;
2356: fnd_msg_pub.add;
2357: END fra_settlement;

Line 2481: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fxo_calculator');

2477:
2478:
2479:
2480: IF (g_proc_level>=g_debug_level) THEN
2481: xtr_risk_debug_pkg.dpush(null,'QRM_CALCULATORS_P.fxo_calculator');
2482: END IF;
2483:
2484:
2485:

Line 2507: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Defaults');

2503: IF (p_indicator = 'D') THEN
2504:
2505:
2506: IF (g_proc_level>=g_debug_level) THEN
2507: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Defaults');
2508: END IF;
2509:
2510: p_volatility_curve:='';
2511: p_curve_types := SYSTEM.QRM_VARCHAR_TABLE('YIELD','YIELD');

Line 2520: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'foreign curve', p_foreign_curve);

2516: p_foreign_curve := p_curve_codes(1);
2517: p_domestic_curve := p_curve_codes(2);
2518:
2519: IF (g_proc_level>=g_debug_level) THEN
2520: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'foreign curve', p_foreign_curve);
2521: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'domestic curve', p_domestic_curve);
2522: END IF;
2523:
2524:

Line 2521: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'domestic curve', p_domestic_curve);

2517: p_domestic_curve := p_curve_codes(2);
2518:
2519: IF (g_proc_level>=g_debug_level) THEN
2520: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'foreign curve', p_foreign_curve);
2521: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'domestic curve', p_domestic_curve);
2522: END IF;
2523:
2524:
2525: -- since 'Calculate Using Defaults' was pressed, use default interpol.

Line 2626: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Defaults');

2622:
2623:
2624:
2625: IF (g_proc_level>=g_debug_level) THEN
2626: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Defaults');
2627: END IF;
2628:
2629:
2630:

Line 2634: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Curves');

2630:
2631: --Optional Curve Data
2632: ELSIF (p_indicator = 'C') THEN
2633: IF (g_proc_level>=g_debug_level) THEN
2634: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Curves');
2635: END IF;
2636: -- GET DEFAULT CURVES
2637:
2638:

Line 2754: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Curves');

2750: p_domestic_day_count:='ACTUAL365'; -- bug 3611158
2751: p_foreign_day_count:='ACTUAL365';
2752:
2753: IF (g_proc_level>=g_debug_level) THEN
2754: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Curves');
2755: END IF;
2756:
2757:
2758:

Line 2765: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Rates');

2761:
2762: --Optional Rates Data
2763: ELSIF (p_indicator = 'R') THEN
2764: IF (g_proc_level>=g_debug_level) THEN
2765: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Rates');
2766: END IF;
2767: -- if a spot rate is missing, go to base(defaults) section
2768: if (p_for_spot_rate_bid IS null) then
2769: if (p_foreign_ccy <> 'USD') then

Line 2889: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign bid rate',p_for_int_rate_bid);

2885: p_day_count_bases,p_interest_quote,p_currency_quote,
2886: p_spot_date,p_exp_date);
2887: p_for_int_rate_bid := p_rates_table(1);
2888: IF (g_proc_level>=g_debug_level) THEN
2889: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign bid rate',p_for_int_rate_bid);
2890: END IF;
2891: end if;
2892:
2893: if (p_for_int_rate_ask IS null) then

Line 2921: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign ask rate',p_for_int_rate_ask);

2917: p_day_count_bases,p_interest_quote,p_currency_quote,
2918: p_spot_date,p_exp_date);
2919: p_for_int_rate_ask := p_rates_table(1);
2920: IF (g_proc_level>=g_debug_level) THEN
2921: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign ask rate',p_for_int_rate_ask);
2922: END IF;
2923: end if;
2924: if (p_dom_int_rate_bid IS null) then
2925: p_rate_types := SYSTEM.QRM_VARCHAR_TABLE('YIELD');

Line 2952: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic bid rate',p_dom_int_rate_bid);

2948: p_day_count_bases,p_interest_quote,p_currency_quote,
2949: p_spot_date,p_exp_date);
2950: p_dom_int_rate_bid := p_rates_table(1);
2951: IF (g_proc_level>=g_debug_level) THEN
2952: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic bid rate',p_dom_int_rate_bid);
2953: END IF;
2954: end if;
2955: if (p_dom_int_rate_ask IS null) then
2956: p_rate_types := SYSTEM.QRM_VARCHAR_TABLE('YIELD');

Line 2983: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic ask rate',p_dom_int_rate_bid);

2979: p_day_count_bases,p_interest_quote,p_currency_quote,
2980: p_spot_date,p_exp_date);
2981: p_dom_int_rate_ask := p_rates_table(1);
2982: IF (g_proc_level>=g_debug_level) THEN
2983: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic ask rate',p_dom_int_rate_bid);
2984: END IF;
2985: end if;
2986:
2987:

Line 2991: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Rates');

2987:
2988:
2989:
2990: IF (g_proc_level>=g_debug_level) THEN
2991: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Rates');
2992: END IF;
2993:
2994:
2995: END IF;

Line 3066: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Defaults');

3062: --Default Curve Data
3063: IF (p_indicator = 'D') THEN
3064:
3065: IF (g_proc_level>=g_debug_level) THEN
3066: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Defaults');
3067: END IF;
3068:
3069: p_volatility_curve:='';
3070: --Only want to set volatility curve if volatility has not been input

Line 3096: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'foreign curve', p_foreign_curve);

3092: end if;
3093:
3094:
3095: IF (g_proc_level>=g_debug_level) THEN
3096: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'foreign curve', p_foreign_curve);
3097: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'domestic curve', p_domestic_curve);
3098: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'volatility curve', p_volatility_curve);
3099: END IF;
3100:

Line 3097: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'domestic curve', p_domestic_curve);

3093:
3094:
3095: IF (g_proc_level>=g_debug_level) THEN
3096: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'foreign curve', p_foreign_curve);
3097: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'domestic curve', p_domestic_curve);
3098: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'volatility curve', p_volatility_curve);
3099: END IF;
3100:
3101: -- since 'Calculate Using Defaults' was pressed, use default interpol.

Line 3098: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'volatility curve', p_volatility_curve);

3094:
3095: IF (g_proc_level>=g_debug_level) THEN
3096: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'foreign curve', p_foreign_curve);
3097: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'domestic curve', p_domestic_curve);
3098: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'volatility curve', p_volatility_curve);
3099: END IF;
3100:
3101: -- since 'Calculate Using Defaults' was pressed, use default interpol.
3102: p_foreign_interpolation := 'DEFAULT';

Line 3237: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Defaults');

3233: p_foreign_day_count:='ACTUAL365';
3234:
3235:
3236: IF (g_proc_level>=g_debug_level) THEN
3237: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Defaults');
3238: END IF;
3239:
3240:
3241:

Line 3251: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Curves');

3247:
3248: --Optional Curve Data
3249: ELSIF (p_indicator = 'C') THEN
3250: IF (g_proc_level>=g_debug_level) THEN
3251: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Curves');
3252: END IF;
3253: -- GET DEFAULT CURVES
3254:
3255: --need dummy table of contra currencies

Line 3423: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Curves');

3419: p_foreign_day_count:='ACTUAL365';
3420:
3421:
3422: IF (g_proc_level>=g_debug_level) THEN
3423: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Curves');
3424: END IF;
3425:
3426:
3427:

Line 3433: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Rates');

3429:
3430: --Optional Rates Data
3431: ELSIF (p_indicator = 'R') THEN
3432: IF (g_proc_level>=g_debug_level) THEN
3433: xtr_risk_debug_pkg.dpush('fxo_calculator: ' || 'Calculation Based On Rates');
3434: END IF;
3435: -- if a spot rate is missing, go to base(defaults) section
3436: p_curve_codes:=SYSTEM.QRM_VARCHAR_TABLE('DUMMY');
3437: p_contra_currencies:=SYSTEM.QRM_VARCHAR_TABLE('DUMMY');

Line 3570: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign bid rate',p_for_int_rate_bid);

3566: p_day_count_bases,p_interest_quote,p_currency_quote,
3567: p_spot_date,p_exp_date);
3568: p_for_int_rate_bid := p_rates_table(1);
3569: IF (g_proc_level>=g_debug_level) THEN
3570: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign bid rate',p_for_int_rate_bid);
3571: END IF;
3572: end if;
3573:
3574: if (p_for_int_rate_ask IS null) then

Line 3604: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign ask rate',p_for_int_rate_ask);

3600: p_day_count_bases,p_interest_quote,p_currency_quote,
3601: p_spot_date,p_exp_date);
3602: p_for_int_rate_ask := p_rates_table(1);
3603: IF (g_proc_level>=g_debug_level) THEN
3604: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted foreign ask rate',p_for_int_rate_ask);
3605: END IF;
3606: end if;
3607: if (p_dom_int_rate_bid IS null) then
3608: p_contra_currencies := SYSTEM.QRM_VARCHAR_TABLE('DUMMY');

Line 3637: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic bid rate',p_dom_int_rate_bid);

3633: p_day_count_bases,p_interest_quote,p_currency_quote,
3634: p_spot_date,p_exp_date);
3635: p_dom_int_rate_bid := p_rates_table(1);
3636: IF (g_proc_level>=g_debug_level) THEN
3637: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic bid rate',p_dom_int_rate_bid);
3638: END IF;
3639: end if;
3640: if (p_dom_int_rate_ask IS null) then
3641: p_contra_currencies := SYSTEM.QRM_VARCHAR_TABLE('DUMMY');

Line 3670: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic ask rate',p_dom_int_rate_bid);

3666: p_day_count_bases,p_interest_quote,p_currency_quote,
3667: p_spot_date,p_exp_date);
3668: p_dom_int_rate_ask := p_rates_table(1);
3669: IF (g_proc_level>=g_debug_level) THEN
3670: xtr_risk_debug_pkg.dlog('fxo_calculator: ' || 'defaulted domestic ask rate',p_dom_int_rate_bid);
3671: END IF;
3672: end if;
3673:
3674: if (p_vol_bid IS null OR p_vol_ask IS null) THEN

Line 3730: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Rates');

3726: p_volatility:=p_vol_bid;
3727:
3728: end if;
3729: IF (g_proc_level>=g_debug_level) THEN
3730: xtr_risk_debug_pkg.dpop('fxo_calculator: ' || 'Calculation Based On Rates');
3731: END IF;
3732:
3733: END IF;
3734:

Line 3936: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',

3932: EXCEPTION
3933: WHEN e_no_int_rates THEN
3934: fnd_msg_pub.add;
3935: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
3936: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_INT_RATES',
3937: 'QRM_CALCULATORS_P.FXO_CALCULATOR',G_ERROR_LEVEL);
3938: END IF;
3939: WHEN e_no_rate_curve THEN
3940: fnd_msg_pub.add;

Line 3942: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',

3938: END IF;
3939: WHEN e_no_rate_curve THEN
3940: fnd_msg_pub.add;
3941: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
3942: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_RATE_CURVE',
3943: 'QRM_CALCULATORS_P.FXO_CALCULATOR',G_ERROR_LEVEL);
3944: END IF;
3945: WHEN e_no_spot_rates THEN
3946: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479

Line 3947: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_SPOT_RATES',

3943: 'QRM_CALCULATORS_P.FXO_CALCULATOR',G_ERROR_LEVEL);
3944: END IF;
3945: WHEN e_no_spot_rates THEN
3946: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
3947: xtr_risk_debug_pkg.dlog('EXCEPTION','E_NO_SPOT_RATES',
3948: 'QRM_CALCULATORS_P.FXO_CALCULATOR',G_ERROR_LEVEL);
3949: END IF;
3950: fnd_msg_pub.add;
3951: WHEN QRM_MM_FORMULAS.e_exceed_vol_upper_bound THEN

Line 3953: xtr_risk_debug_pkg.dlog('EXCEPTION','E_EXCEED_VOL_UPPER_BOUND',

3949: END IF;
3950: fnd_msg_pub.add;
3951: WHEN QRM_MM_FORMULAS.e_exceed_vol_upper_bound THEN
3952: IF (g_ERROR_level>=g_debug_level) THEN --BUG 3236479
3953: xtr_risk_debug_pkg.dlog('EXCEPTION','E_EXCEED_VOL_UPPER_BOUND',
3954: 'QRM_CALCULATORS_P.FXO_CALCULATOR',G_ERROR_LEVEL);
3955: END IF;
3956: fnd_msg_pub.add;
3957:

Line 3959: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fxo_calculator');

3955: END IF;
3956: fnd_msg_pub.add;
3957:
3958: IF (g_proc_level>=g_debug_level) THEN
3959: xtr_risk_debug_pkg.dpop(null,'QRM_CALCULATORS_P.fxo_calculator');
3960: END IF;
3961:
3962: END fxo_calculator;
3963: