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APPS.QRM_MM_FORMULAS dependencies on XTR_MARKET_DATA_P

Line 810: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;

806: p_days2 NUMBER;
807: p_rate1 NUMBER;
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:

Line 811: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;

807: p_rate1 NUMBER;
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:

Line 857: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

853: XTR_RISK_DEBUG_PKG.dlog('calculate_fwd_rate: ' || 'interp method: '||p_interpolation_method);
854: XTR_RISK_DEBUG_PKG.dlog('calculate_fwd_rate: ' || 'data side: '||p_side);
855: END IF;
856:
857: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
858: p_rate1 := p_md_out.p_md_out;
859:
860: IF (p_bpv = 'Y') THEN -- fwd rate used in bpv calculation, so add 1 BP
861: p_rate1 := p_rate1 + 0.01;

Line 883: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

879: p_md_in.p_interpolation_method := p_interpolation_method;
880: p_md_in.p_side := p_side;
881: p_md_in.p_batch_id := NULL;
882: p_md_in.p_bond_code := NULL;
883: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
884: p_rate2 := p_md_out.p_md_out;
885:
886: IF (p_bpv = 'Y') THEN -- fwd rate used in bpv calculation, so add 1 BP
887: p_rate2 := p_rate2 + 0.01;

Line 960: p_md_in xtr_market_data_p.md_from_set_in_rec_type;

956: p_annual_basis NUMBER;
957: p_settle_amount NUMBER;
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;

Line 961: p_md_out xtr_market_data_p.md_from_set_out_rec_type;

957: p_settle_amount NUMBER;
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;

Line 1060: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1056: p_md_in.p_ccy := p_ccy;
1057: p_md_in.p_day_count_basis_out := p_day_count_basis;
1058: p_md_in.p_interpolation_method := p_interpolation_method;
1059: p_md_in.p_side := p_side;
1060: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1061: p_discount_rate := p_md_out.p_md_out;
1062: IF (g_proc_level>=g_debug_level) THEN
1063: XTR_RISK_DEBUG_PKG.dlog('fv_fra: ' || 'discount rate: '||p_discount_rate);
1064: END IF;

Line 1144: p_md_in xtr_market_data_p.md_from_set_in_rec_type;

1140: p_strike_rate NUMBER := p_strike;
1141: p_fwd_fwd_day_count_basis VARCHAR2(15) := 'ACTUAL365';
1142: p_day_count_basis VARCHAR2(15) := 'ACTUAL365'; -- bug 3611158
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;

Line 1145: p_md_out xtr_market_data_p.md_from_set_out_rec_type;

1141: p_fwd_fwd_day_count_basis VARCHAR2(15) := 'ACTUAL365';
1142: p_day_count_basis VARCHAR2(15) := 'ACTUAL365'; -- bug 3611158
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;

Line 1218: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1214: p_md_in.p_interpolation_method := p_interpolation_method;
1215: p_md_in.p_side := p_side;
1216: p_md_in.p_batch_id := null;
1217: p_md_in.p_bond_code := null;
1218: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1219: p_volatility := p_md_out.p_md_out;
1220: IF (p_volatility = 0) THEN
1221: raise e_option_vol_zero;
1222: END IF;

Line 1238: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1234: END IF;
1235:
1236: -- get int rate between spot date and maturity date
1237: p_md_in.p_indicator := 'Y';
1238: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1239: p_long_rate := p_md_out.p_md_out;
1240: IF (g_proc_level>=g_debug_level) THEN
1241: XTR_RISK_DEBUG_PKG.dlog('fv_iro: ' || 'rate between spot and maturity date: '||p_long_rate);
1242: END IF;

Line 1246: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1242: END IF;
1243:
1244: -- get int rate between spot date and start date
1245: p_md_in.p_future_date := p_start_date;
1246: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1247: p_short_rate := p_md_out.p_md_out;
1248: IF (g_proc_level>=g_debug_level) THEN
1249: XTR_RISK_DEBUG_PKG.dlog('fv_iro: ' || 'rate between spot and start date: '||p_short_rate);
1250: END IF;

Line 1415: p_md_in xtr_market_data_p.md_from_set_in_rec_type;

1411: p_int_start NUMBER;
1412: p_int_mature NUMBER;
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;

Line 1416: p_md_out xtr_market_data_p.md_from_set_out_rec_type;

1412: p_int_mature NUMBER;
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;

Line 1462: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1458:
1459: IF (p_rate_type = 'Y') THEN
1460: p_md_in.p_spot_date := p_date;
1461: p_md_in.p_future_date := p_maturity_date;
1462: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1463: p_int_rate := p_md_out.p_md_out;
1464: ELSIF (p_rate_type = 'F') THEN
1465: -- get days to start, and int rate from spot to start
1466: p_md_in.p_spot_date := p_spot_date;

Line 1468: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1464: ELSIF (p_rate_type = 'F') THEN
1465: -- get days to start, and int rate from spot to start
1466: p_md_in.p_spot_date := p_spot_date;
1467: p_md_in.p_future_date := p_start_date;
1468: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1469: p_int_start := p_md_out.p_md_out;
1470: IF (g_proc_level>=g_debug_level) THEN
1471: XTR_RISK_DEBUG_PKG.dlog('fv_ni: ' || 'int rate to start: '||p_int_start);
1472: END IF;

Line 1480: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1476: XTR_RISK_DEBUG_PKG.dlog('fv_ni: ' || 'days to start: '||p_days_start);
1477: END IF;
1478: -- get days to maturity, and int rate from spot to maturity
1479: p_md_in.p_future_date := p_maturity_date;
1480: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1481: p_int_mature := p_md_out.p_md_out;
1482: IF (g_proc_level>=g_debug_level) THEN
1483: XTR_RISK_DEBUG_PKG.dlog('fv_ni: ' || 'int rate to maturity: '||p_int_mature);
1484: END IF;

Line 1559: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1555: IF (p_spot_date < p_start_date) THEN
1556: p_md_in.p_indicator := 'Y';
1557: p_md_in.p_spot_date := p_spot_date;
1558: p_md_in.p_future_date := p_start_date;
1559: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1560: p_int_rate := p_md_out.p_md_out;
1561:
1562: XTR_CALC_P.calc_days_run_c(p_spot_date, p_start_date,
1563: p_day_count_basis, null, p_days, p_annual_basis);

Line 1657: p_md_in XTR_MARKET_DATA_P.md_from_set_in_rec_type;

1653: p_annual_basis NUMBER;
1654:
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:

Line 1658: p_md_out XTR_MARKET_DATA_P.md_from_set_out_rec_type;

1654:
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

Line 1687: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1683: p_md_in.p_bond_code := p_bond_code;
1684: IF (g_proc_level>=g_debug_level) THEN
1685: XTR_RISK_DEBUG_PKG.dlog('fv_bond: ' || 'calling market data api');
1686: END IF;
1687: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1688: IF (g_proc_level>=g_debug_level) THEN
1689: XTR_RISK_DEBUG_PKG.dlog('fv_bond: ' || 'returned from market data api');
1690: END IF;
1691: p_clean_price_reval := p_md_out.p_md_out;-- clean price as of ref date

Line 1866: p_md_in xtr_market_data_p.md_from_set_in_rec_type;

1862: p_cf_counter NUMBER := 0;
1863:
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;

Line 1867: p_md_out xtr_market_data_p.md_from_set_out_rec_type;

1863:
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;

Line 1887: p_md_in xtr_market_data_p.md_from_set_in_rec_type;

1883: p_side VARCHAR2,
1884: p_future_val NUMBER)
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:

Line 1888: p_md_out xtr_market_data_p.md_from_set_out_rec_type;

1884: p_future_val NUMBER)
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

Line 1912: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);

1908: p_md_in.p_interpolation_method := p_interpolation_method;
1909: p_md_in.p_side := p_side;
1910: p_md_in.p_batch_id := NULL;
1911: p_md_in.p_bond_code := NULL;
1912: XTR_MARKET_DATA_P.get_md_from_set(p_md_in, p_md_out);
1913: p_present_in.p_indicator := 'Y'; -- yield rate
1914: p_present_in.p_future_val := p_future_val;
1915: IF (g_proc_level>=g_debug_level) THEN
1916: XTR_RISK_DEBUG_PKG.dlog('fv_tmm_irs_rtmm: ' || 'future val: '||p_future_val);