Search Results fx_forward_rho

Overview

QRM_FX_FORMULAS is a PL/SQL package body owned by the APPS schema in Oracle E-Business Suite releases 12.1.1 and 12.2.2. It forms part of the Oracle Treasury / ETRM (Enterprise Treasury Risk Management) mathematical library, providing the quantitative pricing and sensitivity routines required to value foreign exchange instruments. Its scope includes Garman-Kohlhagen currency option sensitivities, forward contract valuation, forward delta and forward rho measures, and base-contract identification. The package header line ($Header: qrmfxflb.pls 115.19 2003/11/22) indicates a long-lived, stable code line that has been retained across successive EBS releases without structural change, which is characteristic of core treasury valuation routines that must preserve numerical behaviour for auditability. The API classification is OTHER, meaning it is not exposed as a supported public interface but rather as an internal computational engine invoked by other treasury modules.

Key Procedures and Functions

• FX_GK_OPTION_SENS_CV — A cover procedure that calculates the sensitivity of a currency option using the Garman-Kohlhagen formula, the FX extension of Black-Scholes. It accepts a spot date, maturity date, domestic and foreign currencies, domestic and foreign risk-free interest rates with their rate types (Simple, Continuous, or Compounding), compounding frequencies, day-count bases, spot rate, strike rate, and volatility. It returns delta (call and put), theta (call and put), rho (call and put), rho of the forward (call and put), gamma, and vega. Accuracy is limited to six decimal places owing to the internal CUMULATIVE_NORM_DISTRIBUTION routine.
• FX_GK_OPTION_SENS — The underlying worker procedure invoked by the cover routine above, performing the actual Garman-Kohlhagen sensitivity computation.
• FX_FORWARD_DELTA_SPOT — Computes the delta of a foreign exchange forward contract measured against the spot rate; used in hedging and risk aggregation.
• FX_FORWARD_RHO — Computes the rho of a foreign exchange forward, i.e. the sensitivity of forward value to a change in the relevant interest rate. This is the routine most closely associated with the user search term fx_forward_rho.
• GET_BASE_CONTRA — Resolves the base counterparty or base offsetting instrument used when constructing valuation or netting relationships.
• FV_FXO — Calculates the future value of an FX option position.
• FV_FX — Calculates the future value of an FX forward or spot position.

Tables Accessed

Two tables are referenced through APPS synonyms. XTR_BUY_SELL_COMBINATIONS holds the buy/sell direction combinations used to interpret transaction direction (long versus short) when computing signed sensitivities such as delta, rho, and future value. PLITBLM is the standard EBS PL/SQL index-by table used for bulk data passing within the calling session; it carries no persistent business data and is not written to disk.

Usage Notes

QRM_FX_FORMULAS is not intended for direct invocation by end users or via concurrent program parameters. It is called programmatically by two other packages in the treasury stack, which supply market data (spot rates, yield curves, volatilities) and instrument attributes derived from deal records. Typical invocation paths are treasury deal valuation, revaluation, and risk-reporting processes executed as concurrent requests, or from custom PL/SQL that requires consistent FX Greek calculations. When calling FX_GK_OPTION_SENS_CV directly, best practice is to pass Simple 30/360 interest rates obtained from GET_MD_FROM_SET to avoid redundant rate-basis conversions, and to allow for the six-decimal precision ceiling. Because the package is internal, customisations should wrap rather than modify it, preserving numerical results across patches and upgrades.