7.8 Cash Flow Calculation Process

The following steps summarize the Cash Flow Calculation Process:

Initialize Modeling Data and Meters for instruments to be modeled.

1. Process Modeling Event(s) until the current date equals the maturity date or the modeling end date, or the current balance equals zero:
   • Calculate changes to the Underlying Instrument
   • Calculate Financial elements associated with the event
   • Increment Forward Event Dates
2. Generate secondary results:
   • Deferred Amortization Recognition
   • Market Values (Clean Price, Market Value)
   • Duration (Macaulay Duration, Modified Duration, DV01, Convexity)
   • Gap (Repricing and Liquidity)
   • Average Life
   • Yield to Maturity
3. Accumulate daily information into appropriate time buckets.
4. Optionally translate and consolidate values in each time bucket for Oracle ALM Currency-based Processes.