Search Results mod_duration

Overview

QRM_MM_FORMULAS is an Oracle E-Business Suite package owned by the APPS schema that supplies the mathematical and financial calculation engine for Oracle Treasury (ETRM). Its scope covers money-market, fixed-income, interest-rate and foreign-exchange valuation routines, including present-value and future-value calculations, yield-curve sensitivities, and option greeks. The package exists so that Treasury calculators, deal-valuation programs and risk processes can share a single, centrally maintained library of financial formulas rather than embedding calculation logic within individual forms or concurrent programs. In release 12.1.1 and 12.2.2 the object is documented as VALID, with an API classification of OTHER and 21 documented procedures and functions. It is a low-level utility package: it does not own transactional data and is not exposed directly to end users, but is invoked by higher-level Treasury packages that drive deal pricing, mark-to-market and analytical reporting.

Key Procedures and Functions

The documented entry points fall into four functional groups.

• Option and bond sensitivity: BLACK_OPTION_SENS computes sensitivities for instruments priced under a Black-type option model; DELTA_MD returns delta; BOND_CONVEXITY and BOND_DELTA_CONVEXITY derive convexity and delta-convexity measures for bond positions.
• Interest-rate risk: DURATION and MOD_DURATION return Macaulay and modified duration; NI_BPV_DR, BPV_YR, NI_DELTA_BPV and BPV produce basis-point-value and delta-BPV figures for net-interest and rate exposures.
• Valuation and rates: CALCULATE_IMPLIED_VOLATILITY derives implied volatility from market inputs; CALCULATE_FWD_RATE computes forward rates; FV_FRA, FV_IRO, FV_NI, FV_BOND and FV_TMM_IRS_RTMM return future values for forward-rate agreements, interest-rate options, net-interest positions, bonds, and money-market/interest-rate-swap instruments respectively.
• Support routines: WITHIN_ONE_YEAR provides a date-horizon test, NI_FRA_CONVEXITY calculates convexity for net-interest FRA positions, and QRM_CALC_INTEREST performs interest accrual computation.

Parameter lists are not reproduced here; callers should reference the package specification in the ETRM schema for exact signatures.

Tables Accessed

The package's documented dependencies are primarily PL/SQL structures rather than application tables. It references the PL/SQL table types QRM_DATE_TABLE and QRM_VARCHAR_TABLE, the supplied package XTR_MD_NUM_TABLE (market-data numeric table type), and the logging utility FND_LOG. The only application object reached through an APPS synonym is PLITBLM. All of these are used to pass arrays of dates, market-data values and numeric results between the calculation routines and their callers, and to record diagnostic messages when calculations fail or are traced.

Usage Notes

QRM_MM_FORMULAS is referenced by three other packages: QRM_CALCULATORS_P, QRM_FX_FORMULAS, QRM_PA_CALCULATION_P, and by itself through recursive internal calls. It is therefore invoked indirectly whenever Treasury calculates deal values, portfolio valuations or risk sensitivities, whether from Treasury forms, concurrent valuation and revaluation programs, or custom extensions that call the QRM calculation layer. Because it is an internal engine, direct invocation is uncommon; developers should normally call the documented Treasury calculation APIs, which in turn route to this package. The FND_LOG dependency indicates that logging can be enabled at package level for troubleshooting, and the dependency on QRM_VARCHAR_TABLE and QRM_DATE_TABLE means callers must supply correctly typed PL/SQL collections. As with all APPS-owned packages, any modification should be treated as a customization that must be revalidated after patching or upgrading between 12.1.1 and 12.2.2.