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APPS.QRM_MM_FORMULAS dependencies on XTR_MM_COVERS

Line 90: black_opt_price_in XTR_MM_COVERS.black_opt_cv_in_rec_type;

86: -- strike rate
87: v_ir NUMBER := p_in_rec.p_strike_rate/100;
88: v_vol NUMBER := p_in_rec.p_volatility/100;
89:
90: black_opt_price_in XTR_MM_COVERS.black_opt_cv_in_rec_type;
91: black_opt_price_out XTR_MM_COVERS.black_opt_cv_out_rec_type;
92: conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
93: conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
94:

Line 91: black_opt_price_out XTR_MM_COVERS.black_opt_cv_out_rec_type;

87: v_ir NUMBER := p_in_rec.p_strike_rate/100;
88: v_vol NUMBER := p_in_rec.p_volatility/100;
89:
90: black_opt_price_in XTR_MM_COVERS.black_opt_cv_in_rec_type;
91: black_opt_price_out XTR_MM_COVERS.black_opt_cv_out_rec_type;
92: conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
93: conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
94:
95: BEGIN

Line 124: XTR_MM_COVERS.black_option_price_cv(black_opt_price_in,

120: black_opt_price_in.p_maturity_date := p_in_rec.p_maturity_date;
121: black_opt_price_in.p_volatility := p_in_rec.p_volatility;
122:
123: -- Call XTR_MM_FORMULAS.black_option_price
124: XTR_MM_COVERS.black_option_price_cv(black_opt_price_in,
125: black_opt_price_out);
126: v_n_d1 := black_opt_price_out.p_nd1;
127: v_n_d2 := black_opt_price_out.p_nd2;
128: v_n_d1_a := black_opt_price_out.p_nd1_a;

Line 620: iro_option_price_in XTR_MM_COVERS.BLACK_OPT_CV_IN_REC_TYPE;

616: v_count NUMBER;
617: v_test NUMBER;
618: fx_option_price_in XTR_FX_FORMULAS.GK_OPTION_CV_IN_REC_TYPE;
619: fx_option_price_out XTR_FX_FORMULAS.GK_OPTION_CV_OUT_REC_TYPE;
620: iro_option_price_in XTR_MM_COVERS.BLACK_OPT_CV_IN_REC_TYPE;
621: iro_option_price_out XTR_MM_COVERS.BLACK_OPT_CV_OUT_REC_TYPE;
622:
623: BEGIN
624: IF (g_proc_level>=g_debug_level) THEN --bug 3236479

Line 621: iro_option_price_out XTR_MM_COVERS.BLACK_OPT_CV_OUT_REC_TYPE;

617: v_test NUMBER;
618: fx_option_price_in XTR_FX_FORMULAS.GK_OPTION_CV_IN_REC_TYPE;
619: fx_option_price_out XTR_FX_FORMULAS.GK_OPTION_CV_OUT_REC_TYPE;
620: iro_option_price_in XTR_MM_COVERS.BLACK_OPT_CV_IN_REC_TYPE;
621: iro_option_price_out XTR_MM_COVERS.BLACK_OPT_CV_OUT_REC_TYPE;
622:
623: BEGIN
624: IF (g_proc_level>=g_debug_level) THEN --bug 3236479
625: xtr_risk_debug_pkg.dpush(null,'QRM_MM_FORMULAS.CALCULATE_IMPLIED_VOL');

Line 671: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);

667: iro_option_price_in.p_SPOT_DATE := p_spot_date;
668: iro_option_price_in.p_START_DATE := p_start_date;
669: iro_option_price_in.p_MATURITY_DATE := p_expiration_date;
670: iro_option_price_in.p_VOLATILITY := v_vol_low;
671: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);
672:
673: if (p_option_type='C') THEN
674: v_price:=iro_option_price_out.p_CAPLET_PRICE;
675: elsif (p_option_type='P') THEN

Line 702: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);

698: end if;
699:
700: elsif (p_indicator='IRO') THEN
701: iro_option_price_in.p_VOLATILITY := v_vol_high;
702: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);
703:
704: if (p_option_type='C') THEN
705: v_price:=iro_option_price_out.p_CAPLET_PRICE;
706: elsif (p_option_type='P') THEN

Line 730: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);

726: end if;
727:
728: elsif (p_indicator='IRO') THEN
729: iro_option_price_in.p_VOLATILITY := v_vol_high;
730: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);
731:
732: if (p_option_type='C') THEN
733: v_price:=iro_option_price_out.p_CAPLET_PRICE;
734: elsif (p_option_type='P') THEN

Line 761: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);

757: end if;
758:
759: elsif (p_indicator='IRO') THEN
760: iro_option_price_in.p_VOLATILITY := v_vol_mid;
761: XTR_MM_COVERS.BLACK_OPTION_PRICE_CV(iro_option_price_in, iro_option_price_out);
762:
763: if (p_option_type='C') THEN
764: v_price:=iro_option_price_out.p_CAPLET_PRICE;
765: elsif (p_option_type='P') THEN

Line 812: p_mm_in XTR_MM_COVERS.int_forw_rate_in_rec_type;

808: p_rate2 NUMBER;
809: p_fwd_rate NUMBER;
810: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
811: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
812: p_mm_in XTR_MM_COVERS.int_forw_rate_in_rec_type;
813: p_mm_out XTR_MM_COVERS.int_forw_rate_out_rec_type;
814:
815:
816: BEGIN

Line 813: p_mm_out XTR_MM_COVERS.int_forw_rate_out_rec_type;

809: p_fwd_rate NUMBER;
810: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
811: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
812: p_mm_in XTR_MM_COVERS.int_forw_rate_in_rec_type;
813: p_mm_out XTR_MM_COVERS.int_forw_rate_out_rec_type;
814:
815:
816: BEGIN
817: IF (g_proc_level>=g_debug_level) THEN

Line 908: XTR_MM_COVERS.interest_forward_rate(p_mm_in, p_mm_out);

904: p_mm_in.p_T1 := p_days2;
905: p_mm_in.p_Rt := p_rate1;
906: p_mm_in.p_Rt1 := p_rate2;
907: p_mm_in.p_year_basis:= p_annual_basis;
908: XTR_MM_COVERS.interest_forward_rate(p_mm_in, p_mm_out);
909: p_fwd_rate := p_mm_out.p_fra_rate;
910: END IF;
911:
912: IF (g_proc_level>=g_debug_level) THEN

Line 962: p_fra_in XTR_MM_COVERS.fra_settlement_in_rec_type;

958: p_discount_rate NUMBER;
959:
960: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
961: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
962: p_fra_in XTR_MM_COVERS.fra_settlement_in_rec_type;
963: p_fra_out XTR_MM_COVERS.fra_settlement_out_rec_type;
964: p_mm_in XTR_MM_COVERS.presentValue_in_rec_type;
965: p_mm_out XTR_MM_COVERS.presentValue_out_rec_type;
966: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;

Line 963: p_fra_out XTR_MM_COVERS.fra_settlement_out_rec_type;

959:
960: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
961: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
962: p_fra_in XTR_MM_COVERS.fra_settlement_in_rec_type;
963: p_fra_out XTR_MM_COVERS.fra_settlement_out_rec_type;
964: p_mm_in XTR_MM_COVERS.presentValue_in_rec_type;
965: p_mm_out XTR_MM_COVERS.presentValue_out_rec_type;
966: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
967: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;

Line 964: p_mm_in XTR_MM_COVERS.presentValue_in_rec_type;

960: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
961: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
962: p_fra_in XTR_MM_COVERS.fra_settlement_in_rec_type;
963: p_fra_out XTR_MM_COVERS.fra_settlement_out_rec_type;
964: p_mm_in XTR_MM_COVERS.presentValue_in_rec_type;
965: p_mm_out XTR_MM_COVERS.presentValue_out_rec_type;
966: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
967: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
968:

Line 965: p_mm_out XTR_MM_COVERS.presentValue_out_rec_type;

961: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
962: p_fra_in XTR_MM_COVERS.fra_settlement_in_rec_type;
963: p_fra_out XTR_MM_COVERS.fra_settlement_out_rec_type;
964: p_mm_in XTR_MM_COVERS.presentValue_in_rec_type;
965: p_mm_out XTR_MM_COVERS.presentValue_out_rec_type;
966: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
967: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
968:
969: BEGIN

Line 1026: XTR_MM_COVERS.fra_settlement_amount(p_fra_in, p_fra_out);

1022: p_fra_in.p_face_value := p_face_value;
1023: p_fra_in.p_day_count := p_days;
1024: p_fra_in.p_annual_basis := p_annual_basis;
1025: p_fra_in.p_deal_subtype := p_deal_subtype;
1026: XTR_MM_COVERS.fra_settlement_amount(p_fra_in, p_fra_out);
1027: -- settlement amount is fair value
1028: p_settle_amount := p_fra_out.p_settlement_amount;
1029: IF (g_proc_level>=g_debug_level) THEN
1030: XTR_RISK_DEBUG_PKG.dlog('fv_fra: ' || 'settlement amount is: '||p_settle_amount);

Line 1083: XTR_MM_COVERS.present_value(p_mm_in, p_mm_out);

1079: IF (g_proc_level>=g_debug_level) THEN
1080: XTR_RISK_DEBUG_PKG.dlog('fv_fra: ' || 'fra fv before discounting: '||p_settle_amount);
1081: END IF;
1082:
1083: XTR_MM_COVERS.present_value(p_mm_in, p_mm_out);
1084: p_fair_value := p_mm_out.p_present_val;
1085:
1086: IF (g_proc_level>=g_debug_level) THEN
1087: XTR_RISK_DEBUG_PKG.dlog('fv_fra: ' || 'fra fv after discounting: '||p_fair_value);

Line 1147: p_black_in XTR_MM_COVERS.black_opt_cv_in_rec_type;

1143:
1144: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1145: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1146:
1147: p_black_in XTR_MM_COVERS.black_opt_cv_in_rec_type;
1148: p_black_out XTR_MM_COVERS.black_opt_cv_out_rec_type;
1149: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1150: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1151:

Line 1148: p_black_out XTR_MM_COVERS.black_opt_cv_out_rec_type;

1144: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1145: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1146:
1147: p_black_in XTR_MM_COVERS.black_opt_cv_in_rec_type;
1148: p_black_out XTR_MM_COVERS.black_opt_cv_out_rec_type;
1149: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1150: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1151:
1152: p_days1 NUMBER;

Line 1327: XTR_MM_COVERS.black_option_price_cv(p_black_in, p_black_out);

1323: XTR_RISK_DEBUG_PKG.dlog('fv_iro: ' || 'start date: '||p_start_date);
1324: XTR_RISK_DEBUG_PKG.dlog('fv_iro: ' || 'maturity date: '||p_maturity_date);
1325: XTR_RISK_DEBUG_PKG.dlog('fv_iro: ' || 'volatility: '||p_volatility);
1326: END IF;
1327: XTR_MM_COVERS.black_option_price_cv(p_black_in, p_black_out);
1328:
1329: -- forward forward rate
1330: p_fwd_fwd_rate := p_black_out.p_forward_forward_rate;
1331: IF (g_proc_level>=g_debug_level) THEN

Line 1417: p_present_in XTR_MM_COVERS.presentValue_in_rec_type;

1413: p_rate_type VARCHAR2(1);
1414:
1415: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1416: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1417: p_present_in XTR_MM_COVERS.presentValue_in_rec_type;
1418: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;
1419: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1420: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1421: p_if_in XTR_MM_COVERS.int_forw_rate_in_rec_type;

Line 1418: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;

1414:
1415: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1416: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1417: p_present_in XTR_MM_COVERS.presentValue_in_rec_type;
1418: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;
1419: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1420: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1421: p_if_in XTR_MM_COVERS.int_forw_rate_in_rec_type;
1422: p_if_out XTR_MM_COVERS.int_forw_rate_out_rec_type;

Line 1421: p_if_in XTR_MM_COVERS.int_forw_rate_in_rec_type;

1417: p_present_in XTR_MM_COVERS.presentValue_in_rec_type;
1418: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;
1419: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1420: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1421: p_if_in XTR_MM_COVERS.int_forw_rate_in_rec_type;
1422: p_if_out XTR_MM_COVERS.int_forw_rate_out_rec_type;
1423:
1424: BEGIN
1425: IF (g_proc_level>=g_debug_level) THEN

Line 1422: p_if_out XTR_MM_COVERS.int_forw_rate_out_rec_type;

1418: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;
1419: p_conv_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1420: p_conv_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1421: p_if_in XTR_MM_COVERS.int_forw_rate_in_rec_type;
1422: p_if_out XTR_MM_COVERS.int_forw_rate_out_rec_type;
1423:
1424: BEGIN
1425: IF (g_proc_level>=g_debug_level) THEN
1426: XTR_RISK_DEBUG_PKG.dpush(null,'QRM_MM_FORMULAS.fv_ni');

Line 1497: XTR_MM_COVERS.interest_forward_rate(p_if_in, p_if_out);

1493: p_if_in.p_t1 := p_days_mature;
1494: p_if_in.p_rt := p_int_start;
1495: p_if_in.p_rt1 := p_int_mature;
1496: p_if_in.p_year_basis := p_annual_basis;
1497: XTR_MM_COVERS.interest_forward_rate(p_if_in, p_if_out);
1498: p_int_rate := p_if_out.p_fra_rate;
1499: END IF;
1500:
1501: IF (g_proc_level>=g_debug_level) THEN

Line 1548: XTR_MM_COVERS.present_value(p_present_in, p_present_out);

1544: p_present_in.p_rate_type := 'P';
1545: p_present_in.p_compound_freq := 1;
1546: END IF;
1547:
1548: XTR_MM_COVERS.present_value(p_present_in, p_present_out);
1549: p_fair_value := p_present_out.p_present_val;
1550:
1551: -- now present value to spot date
1552: -- this is only necessary if spot date < start date

Line 1576: XTR_MM_COVERS.present_value(p_present_in, p_present_out);

1572: ELSE
1573: p_present_in.p_rate_type := 'P';
1574: p_present_in.p_compound_freq := 1;
1575: END IF;
1576: XTR_MM_COVERS.present_value(p_present_in, p_present_out);
1577: p_fair_value := p_present_out.p_present_val;
1578:
1579: -- account for buy/sell sign
1580: IF (p_deal_subtype in ('SHORT', 'ISSUE')) THEN

Line 1659: p_py_in XTR_MM_COVERS.bond_price_yield_in_rec_type;

1655: p_settle_date DATE;
1656:
1657: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
1658: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
1659: p_py_in XTR_MM_COVERS.bond_price_yield_in_rec_type;
1660: p_py_out XTR_MM_COVERS.bond_price_yield_out_rec_type;
1661:
1662: BEGIN
1663: IF (g_proc_level>=g_debug_level) THEN

Line 1660: p_py_out XTR_MM_COVERS.bond_price_yield_out_rec_type;

1656:
1657: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;
1658: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;
1659: p_py_in XTR_MM_COVERS.bond_price_yield_in_rec_type;
1660: p_py_out XTR_MM_COVERS.bond_price_yield_out_rec_type;
1661:
1662: BEGIN
1663: IF (g_proc_level>=g_debug_level) THEN
1664: XTR_RISK_DEBUG_PKG.dpush(null,'QRM_MM_FORMULAS.fv_bond');

Line 1730: XTR_MM_COVERS.calculate_bond_price_yield(p_py_in, p_py_out);

1726: p_py_in.p_day_count_type := p_day_count_type;
1727: p_py_in.p_first_trans_flag := 'Y';
1728: p_py_in.p_deal_subtype := p_deal_subtype;
1729:
1730: XTR_MM_COVERS.calculate_bond_price_yield(p_py_in, p_py_out);
1731: p_ytm := p_py_out.p_yield;
1732: p_actual_ytm := p_py_out.p_actual_ytm; --bug 2804548 QRM BPV
1733: -- bug 2426008
1734: p_accrued_interest := p_py_out.p_accrued_interest;

Line 1773: XTR_MM_COVERS.calculate_bond_price_yield(p_py_in, p_py_out);

1769: p_py_in.p_first_trans_flag := 'Y';
1770: p_py_in.p_deal_subtype := p_deal_subtype;
1771:
1772:
1773: XTR_MM_COVERS.calculate_bond_price_yield(p_py_in, p_py_out);
1774: p_clean_price_reval := p_py_out.p_clean_price;
1775:
1776: IF (g_proc_level>=g_debug_level) THEN
1777: XTR_RISK_DEBUG_PKG.dlog('fv_bond: ' || 'clean price with margin: '||

Line 1868: p_mm_in XTR_MM_COVERS.int_forw_rate_in_rec_type;

1864: p_mm_day_count_basis VARCHAR2(15) := 'ACTUAL365';
1865:
1866: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1867: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1868: p_mm_in XTR_MM_COVERS.int_forw_rate_in_rec_type;
1869: p_mm_out XTR_MM_COVERS.int_forw_rate_out_rec_type;
1870: p_rc_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1871: p_rc_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1872: p_df_in XTR_RATE_CONVERSION.df_in_rec_type;

Line 1869: p_mm_out XTR_MM_COVERS.int_forw_rate_out_rec_type;

1865:
1866: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1867: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1868: p_mm_in XTR_MM_COVERS.int_forw_rate_in_rec_type;
1869: p_mm_out XTR_MM_COVERS.int_forw_rate_out_rec_type;
1870: p_rc_in XTR_RATE_CONVERSION.rate_conv_in_rec_type;
1871: p_rc_out XTR_RATE_CONVERSION.rate_conv_out_rec_type;
1872: p_df_in XTR_RATE_CONVERSION.df_in_rec_type;
1873: p_df_out XTR_RATE_CONVERSION.df_out_rec_type;

Line 1889: p_present_in XTR_MM_COVERS.presentValue_in_rec_type;

1885: RETURN NUMBER IS
1886:
1887: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1888: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1889: p_present_in XTR_MM_COVERS.presentValue_in_rec_type;
1890: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;
1891:
1892: BEGIN
1893: IF (g_proc_level>=g_debug_level) THEN

Line 1890: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;

1886:
1887: p_md_in xtr_market_data_p.md_from_set_in_rec_type;
1888: p_md_out xtr_market_data_p.md_from_set_out_rec_type;
1889: p_present_in XTR_MM_COVERS.presentValue_in_rec_type;
1890: p_present_out XTR_MM_COVERS.presentValue_out_rec_type;
1891:
1892: BEGIN
1893: IF (g_proc_level>=g_debug_level) THEN
1894: XTR_RISK_DEBUG_PKG.dpush(null,'QRM_MM_FORMULAS.fv_tmm_irs_rtmm.present_value_tmm');

Line 1944: XTR_MM_COVERS.present_value(p_present_in, p_present_out);

1940: END IF;
1941: p_present_in.p_rate_type := 'P';
1942: p_present_in.p_compound_freq := 1;
1943: END IF;
1944: XTR_MM_COVERS.present_value(p_present_in, p_present_out);
1945: IF (g_proc_level>=g_debug_level) THEN
1946: XTR_RISK_DEBUG_PKG.dlog('fv_tmm_irs_rtmm: ' || 'present val', p_present_out.p_present_val);
1947: XTR_RISK_DEBUG_PKG.dpop(null,'QRM_MM_FORMULAS.fv_tmm_irs_rtmm.present_val_tmm');
1948: END IF;