Skip Headers
Index
A
account tables
cash flow columns link
C
cash flow calculation process
initialization of modeling data and parameters
determination of account type link
determination of modeling start and end dates link
initialization of additionally derived data link
initialization of cash flow data link
initialization of interface data link
initialization of pattern records link
initialization of schedule records link
overview link
processing modeling events
overview link
payment calculation event link
payment calculation steps link
payment event link
payment event steps link
payment event steps for interest-in-advance instruments link
prepayment event link
prepayment event steps link
reprice event link
cash flow calculations
cash flow calculation process
stages of link
characteristics and concepts
daily cash flows link
event-driven logic link
financial elements link
instrument level modeling link
list of link
modeling flexibility link
detail cash flow data link
financial element calculations link
overview link
Rule of 78 link
cash flow columns
Accrual Basis Code (ACCRUAL_BASIS_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Accrual Payment Adjustment Date (PMT_ADJUST_DATE)
usage link
Adjustable Type Code (ADJUSTABLE_TYPE_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Amortization Term (AMRT_TERM)
data verification requirements and suggested defaults link
definition link
usage link
Amortization Term Multiplier (AMRT_TERM_MULT)
data verification requirements and suggested defaults link
definition link
usage link
Amortization Type Code (AMRT_TYPE_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Calendar Period End Date (CAL_PERIOD_ID)
data verification requirements and suggested defaults link
definition link
usage link
Compounding Basis Code (COMPOUND_BASIS_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Current Book Balance (CUR_BOOK_BAL)
data verification requirements and suggested defaults link
definition link
usage link
Current Gross Rate (CUR_GROSS_RATE)
data verification requirements and suggested defaults link
definition link
usage link
Current Net Rate (CUR_NET_RATE)
data verification requirements and suggested defaults link
definition link
usage link
Current Option-Adjusted Spread (CUR_OAS)
definition link
usage link
Current Par Balance (CUR_PAR_BAL)
data verification requirements and suggested defaults link
definition link
usage link
Current Payment (CUR_PAYMENT)
data verification requirements and suggested defaults link
definition link
usage link
Current Static Spread (CUR_STATIC_SPREAD)
definition link
usage link
Current Transfer Pricing Period Average Daily Balance (CUR_TP_PER_ADB)
data verification requirements and suggested defaults link
definition link
usage link
Deferred Current Balance (DEFERRED_CUR_BAL)
data verification requirements and suggested defaults link
definition link
usage link
Deferred Original Balance (DEFERRED_ORG_BAL)
data verification requirements and suggested defaults link
definition link
usage link
descriptions link
Gross Margin (MARGIN_GROSS)
data verification requirements and suggested defaults link
definition link
usage link
Historic Option-Adjusted Spread (HISTORIC_OAS)
definition link
usage link
Historic Static Spread (HISTORIC_STATIC_SPREAD)
definition link
usage link
ID Number (ID_NUMBER)
data verification requirements and suggested defaults link
definition link
usage link
Instrument Type Code (INSTRUMENT_TYPE_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Interest Rate Code (INTEREST_RATE_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Interest Type Code (INT_TYPE_CODE)
data verification requirements and suggested defaults link
Interest Type Code (INT_TYPE_CODE)
definition link
usage link
Issue Date (ISSUE_DATE)
data verification requirements and suggested defaults link
definition link
usage link
Last Payment Date (LAST_PAYMENT_DATE)
data verification requirements and suggested defaults link
definition link
usage link
Last Reprice Date Balance (LRD_BALANCE)
data verification requirements and suggested defaults link
definition link
usage link
Last Repricing Date (LAST_REPRICE_DATE)
data verification requirements and suggested defaults link
definition link
usage link
list link
Margin (MARGIN)
data verification requirements and suggested defaults link
definition link
usage link
Matched Spread (MATCHED_SPREAD)
data verification requirements and suggested defaults link
definition link
usage link
Maturity Date (MATURITY_DATE)
data verification requirements and suggested defaults link
definition link
usage link
Negative Amortization Amount (NEG_AMRT_AMT)
data verification requirements and suggested defaults link
definition link
usage link
Negative Amortization Equalization Date (NEG_AMRT_EQ_DATE)
data verification requirements and suggested defaults link
definition link
usage link
Negative Amortization Equalization Frequency (NEG_AMRT_EQ_FREQ)
data verification requirements and suggested defaults link
definition link
usage link
Negative Amortization Equalization Frequency Multiplier (NEG_AMRT_EQ_MULT)
data verification requirements and suggested defaults link
definition link
usage link
Negative Amortization Limit (NEG_AMRT_LIMIT)
data verification requirements and suggested defaults link
definition link
usage link
Net Margin Code (NET_MARGIN_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Next Payment Date (NEXT_PAYMENT_DATE)
data verification requirements and suggested defaults link
definition link
usage link
Next Repricing Date (NEXT_REPRICE_DATE)
data verification requirements and suggested defaults link
definition link
usage link
Original Par Balance (ORG_PAR_BAL)
data verification requirements and suggested defaults link
definition link
usage link
Original Payment Amount (ORG_PAYMENT_AMT)
data verification requirements and suggested defaults link
definition link
usage link
Original Term (ORG_TERM)
data verification requirements and suggested defaults link
definition link
usage link
Original Term Multiplier (ORG_TERM_MULT)
data verification requirements and suggested defaults link
definition link
usage link
Origination Date (ORIGINATION_DATE)
data verification requirements and suggested defaults link
definition link
usage link
overview link
Payment Adjustment Date (PMT_ADJUST_DATE)
data verification requirements and suggested defaults link
definition link
Payment Change Frequency (PMT_CHG_FREQ)
data verification requirements and suggested defaults link
definition link
usage link
Payment Change Frequency Multiplier (PMT_CHG_FREQ_MULT)
data verification requirements and suggested defaults link
definition link
usage link
Payment Decrease Limit - Cycle (PMT_DECR_CYCLE)
data verification requirements and suggested defaults link
definition link
usage link
Payment Decrease Limit - Life (PMT_DECR_LIFE)
data verification requirements and suggested defaults link
definition link
usage link
Payment Frequency (PMT_FREQ)
data verification requirements and suggested defaults link
definition link
usage link
Payment Frequency Multiplier (PMT_FREQ_MULT)
data verification requirements and suggested defaults link
definition link
usage link
Payment Increase Limit - Cycle (PMT_INCR_CYCLE)
data verification requirements and suggested defaults link
definition link
usage link
Payment Increase Limit - Life (PMT_INCR_LIFE)
data verification requirements and suggested defaults link
definition link
usage link
Percent Sold (PERCENT_SOLD)
data verification requirements and suggested defaults link
definition link
usage link
Prior Transfer Pricing Period Average Daily Balance (PRIOR_TP_PER_ADB)
data verification requirements and suggested defaults link
definition link
usage link
Rate Cap Life (RATE_CAP_LIFE)
data verification requirements and suggested defaults link
definition link
usage link
Rate Change Minimum (RATE_CHG_MIN)
data verification requirements and suggested defaults link
definition link
usage link
Rate Change Rounding Code (RATE_CHG_RND_CODE)
data verification requirements and suggested defaults link
definition link
usage link
Rate Change Rounding Factor (RATE_CHG_RND_FAC)
data verification requirements and suggested defaults link
definition link
usage link
Rate Decrease Limit - Cycle (RATE_DECR_CYCLE)
data verification requirements and suggested defaults link
definition link
usage link
Rate Floor Life (RATE_FLOOR_LIFE)
data verification requirements and suggested defaults link
definition link
usage link
Rate Increase Limit - Cycle (RATE_INCR_CYCLE)
data verification requirements and suggested defaults link
definition link
usage link
Rate Set Lag (RATE_SET_LAG)
data verification requirements and suggested defaults link
definition link
usage link
Rate Set Lag Multiplier (RATE_SET_LAG_MULT)
data verification requirements and suggested defaults link
definition link
usage link
Remaining Number of Payments (REMAIN_NO_PMTS)
data verification requirements and suggested defaults link
definition link
usage link
Repricing Frequency (REPRICE_FREQ)
data verification requirements and suggested defaults link
definition link
usage link
Repricing Frequency Multiplier (REPRICE_FREQ_MULT)
usage link
Repricing Frequency Multiplier (REPRICE_FREQ_MULT)
data verification requirements and suggested defaults link
definition link
Teaser-rate End Date (TEASER_END_DATE)
data verification requirements and suggested defaults link
definition link
usage link
Transfer Rate (TRANSFER_RATE)
data verification requirements and suggested defaults link
definition link
usage link
Transfer Rate Remaining Term (TRAN_RATE_REM_TERM)
data verification requirements and suggested defaults link
definition link
usage link
cash flow edit logic
assignment link
codes link
description link
error condition link
overview link
purpose link
warning link
current rate risk
measurement link
D
detail cash flow data
columns
description link
event use link
name link
type link link
Dynamic
Characteristics link
E
embedded rate risk
example link
measurement link
F
financial element calculations
account type processing link
averaging type link
financial element description link
financial element number link
weighting factor link
I
Initialize
Cash Flow Data link
Interface Data link
interest rate spread
credit spread link
funding spread link
rate risk spread link
L
ledger migration
mechanics
assumptions link
charge/credit generation link
direct transfer pricing of ledger balances link
Management Ledger Table link
transfer rate and option cost calculation link
Virtual Memory Table link
option costs ledger migration
in remaining term calculation mode link
in standard calculation mode link
overview link
overview
charges link
credits link
required parameters
calculation mode link
conditions and tables link
dimensions link
entered and functional currency link
Line Item dimension link
offset organization unit link
overview link
transfer pricing parameters link
Transfer Pricing Process rule link
transfer pricing rule link
transfer rate ledger migration
account tables accumulation link
example link
Management Ledger Table processing link
overview link
ledger migration process link
See ledger migration
M
Management Ledger Table
standards
data signage link
editing standards link
weighted average transfer rate (WATR) and charge/credit rows link
Modeling
Start, End Dates link
N
Negative
Amortization Check link
NGAM Equalization Event link
O
option costs
calculation architecture
assumptions link
calculation technique
Monte Carlo technique link
calculations
calculating forward rates link
calculating option-adjusted spread (OAS) link
calculating static spread link
defining the option-adjusted spread link
defining the static spread link
example link
process flow link
examples link
model usage
calibrating the accuracy of calculations link
nonunicity of the static spread link
model usage hints link
overview link
spreads
option-adjusted spread (OAS) link
static spread link
theory
assumptions link
definitions link
equivalence of the option adjusted spread and risk-adjusted margin link
equivalence of the static spread and margin link
option costs
model usage
overview link
Oracle Transfer Pricing option costs link
See option costs
P
Percent
Sold Adjustment link
R
rate conversion
algorithms
conversion from yield-to-maturity to zero-coupon yield link
conversion from zero-coupon yield to yield-to-maturity link
overview link
terminology used link
characteristics of interest rates codes
accrual basis link
compound basis link
rate format link
overview link
rate format usage
Monte Carlo rate path generation link
overview link
rate index calculation from Monte Carlo rate paths link
use in transfer pricing methods link
usage link
rate risk profit
current rate risk profit link
embedded rate risk profit link
Rule of 78
example link
overview link
S
Static Characteristics link
T
transfer price link
transfer pricing
concept link
definition link
transfer pricing approaches
matched rate link
accounting link
advantages link
example link
workings link
traditional link
pitfalls link
transfer pricing option costs link
See option costs
transfer rate ledger migration
Management Ledger Table processing
accounts with ledger-only data source link
calculation of overall WATR (financial element 170) link
generation of charge/credit for funds (financial element 450) link
unpriced accounts link
transfer rates
average cost of funds link
marginal cost of funds link
multiple link
single link
Triggers link
V
Virtual Memory Table
types of columns link
Y
Yield Curve link
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