Search Results black_option_sens

Overview

QRM_MM_FORMULAS is a financial mathematics utility package in the Oracle E-Business Suite Treasury (ETRM/QRM) module. It provides the quantitative calculation engine that underpins money-market, fixed-income, interest-rate-option, and interest-rate-swap valuation and risk analytics. The package implements standard financial formulae — Black's option pricing model sensitivities, bond duration and convexity, basis-point values, forward-rate derivation, and future-value projection — and is exposed to the Treasury application layer through PL/SQL calls rather than through user-interface screens directly. It is a supporting library, invoked by other Treasury calculations rather than a standalone business process.

The package owner is APPS and it is classified as API type OTHER. It is referenced by three other packages, indicating a foundational role in the Treasury calculation stack.

Key Procedures and Functions

The 21 documented procedures and functions fall into distinct analytic groups:

• Option sensitivity: BLACK_OPTION_SENS computes the Greeks (delta, gamma, theta, rho, vega) for interest-rate options using Black's formula, calling XTR_RATE_CONVERSION.rate_conversion to normalize day counts and interest-rate bases, and XTR_MM_FORMULAS.black_option_price for the cumulative normal distribution. Inputs and outputs are passed through black_opt_sens_in_rec_typ and black_opt_sens_out_rec_typ records.
• Fixed-income risk metrics: DURATION, MOD_DURATION, BOND_CONVEXITY, DELTA_MD, and BOND_DELTA_CONVEXITY calculate Macaulay duration, modified duration, convexity, and their price-sensitivity deltas for bond instruments.
• Basis-point value: BPV, BPV_YR, NI_BPV_DR, and NI_DELTA_BPV derive basis-point values and related deltas for both yearly and net-interest exposures.
• Forward and implied rates: CALCULATE_FWD_RATE and CALCULATE_IMPLIED_VOLATILITY derive forward rates and back out implied volatility from market inputs.
• Convexity and future value: NI_FRA_CONVEXITY, FV_FRA, FV_IRO, FV_NI, FV_BOND, and FV_TMM_IRS_RTMM project future values for forward-rate agreements, interest-rate options, net-interest positions, bonds, and interest-rate swaps.
• Utility: WITHIN_ONE_YEAR performs a date-range test, and QRM_CALC_INTEREST computes an interest amount for a given principal, rate, and period.

Tables Accessed

The only documented table accessed, via an APPS synonym, is PLITBLM. This is the Treasury interest-rate table used to store market interest-rate and yield-curve data consumed by the rate-conversion and valuation routines. No other application tables are documented as referenced directly by this package; most inputs are passed as parameters through the defined record types.

Note: the user's search string "form 7 for air compressor" does not correspond to any documented object, procedure, or table within QRM_MM_FORMULAS. That phrase relates to physical asset maintenance, not to Treasury financial mathematics. No mapping between the two exists in the ETRM metadata.

Usage Notes

QRM_MM_FORMULAS is not a user-facing form. It is invoked programmatically by Treasury calculation packages (three documented callers) and by concurrent valuation or revaluation programs that need standardized financial formulae. Key considerations:

• All interest rates are assumed to be in percentage form; a rate of 8 percent is passed as 8, not 0.08.
• The annual basis assumption is 360 days, and continuous interest rates are required for option calculations.
• Rate inputs must be converted between simple and compounded bases before use; the package calls XTR_RATE_CONVERSION.rate_conversion for this purpose.
• Spot rates are excluded from the percentage-form assumption; only non-spot rates follow that convention.

Custom code extending Treasury analytics should call these procedures rather than reimplementing the formulae, to preserve consistency with Oracle's day-count and compounding conventions across EBS 12.1.1 and 12.2.2.