Search Results future_value

Overview

APPS.XTR_MM_FORMULAS is the core mathematical and financial-engineering library within Oracle E-Business Suite Treasury (ETRM). It is declared as AUTHID CURRENT_USER and resides in the APPS schema, and its declared purpose is to supply the analytic formulas required to value money-market instruments, forward rate agreements, interest rate options, and generic cash flow streams. The package abstracts the underlying financial mathematics — discounting, yield and rate conversions, Black's option pricing model, and the standard cumulative normal distribution — into reusable PL/SQL entry points that other ETRM components call rather than reimplementing. In essence, it is the valuation engine that allows Treasury deal capture, limit monitoring, and mark-to-market processing to produce consistent numeric results across the application.

Key Procedures and Functions

The 15 documented program units fall into several functional groups:

• Time-value-of-money core: GROWTH_FACTOR, PRESENT_VALUE_DISCOUNT_RATE, PRESENT_VALUE_YIELD_RATE, PRESENT_VALUE_DISCOUNT_FACTOR, FUTURE_VALUE_YIELD_RATE, and FUTURE_VALUE_DISCOUNT_RATE convert between present and future values using either a discount rate or a yield basis. The FUTURE_VALUE_* routines are the direct answer to a "future_value" inquiry, returning the compounded value of a cash flow over a period.
• Forward rate agreements: FRA_PRICE, FRA_PRICE_LONG, FRA_PRICE_DF, FRA_SETTLEMENT_AMOUNT_DISCOUNT, and FRA_SETTLEMENT_AMOUNT_YIELD price FRAs and compute their settlement amounts on either a discount or yield convention.
• Option pricing: BLACK_OPTION_PRICE implements Black's model (per Hull) and returns caplet/floorlet prices together with the N(x) and N'(x) terms; BS_OPTION_PRICE provides the Black-Scholes variant used for related option types.
• Supporting analytics: COUPON_CASHFLOW derives periodic coupon amounts, and CUMULATIVE_NORM_DISTRIBUTION evaluates the standard normal CDF used inside the option formulas.

The source header documents the assumption of a 360-day annual basis and the requirement for continuous interest rates, noting that XTR_RATE_CONVERSION.RATE_CONVERSION may be called first to normalize day counts and compounding conventions.

Tables Accessed

No base tables are referenced through APPS synonyms. XTR_MM_FORMULAS is a pure calculation package: all inputs are passed as scalar parameters, and all outputs are returned as scalars or as records such as BLACK_OPT_IN_REC_TYPE and BLACK_OPT_OUT_REC_TYPE. Persistence of results is the responsibility of the calling packages, which store the returned figures on deal, cash flow, and valuation tables.

Usage Notes

Because the package exposes only numeric functions, it is invoked from other PL/SQL units rather than directly from forms or concurrent programs. ETRM documentation confirms it is referenced by three other packages, and typical callers include deal valuation, mark-to-market, and limit-checking routines that need a consistent present-value or option price. Customizations and extensions should call these public functions instead of embedding duplicate formulas, ensuring that Treasury valuations remain aligned with Oracle's supported calculation logic. When adapting inputs, developers must respect the documented conventions — continuous compounding, 360-day annual basis, and conversion of day counts and simple/compounded rates via XTR_RATE_CONVERSION — or results will diverge from standard ETRM output.