Black76 model Enhancement

Instrument margin added to Benchmark Forward rate in Black76 Model. This update enables the Black76 model to allow interest rate margin of instrument to be added to the benchmark forward rate. The enhancement aligns the model calculation method.

Business Benefit:

This feature provides increased flexibility for risk modeling and empowers users to meet specific financial modeling needs.

Steps to Enable and Configure

You don't need to do anything to enable this feature.

Key Resources

• Oracle Financial Services Asset Liability Management Cloud Service User Guide