8.2.46.2 Model Usage

Both the Static Deterministic and Dynamic Deterministic ALM Processes will calculate and output DV01 when the Market Value, YTM, Duration, DV01/PV01 option is selected from the Calculation Elements block. This result is written to FSI_O_RESULT_MASTER and FSI_O_CONSOLIDATED_MASTER tables for each scenario defined in Forecast Rates. Additionally, users can choose to update the instrument data with Dollar Duration for each record if the related option is selected on the Output Preferences block. Each instrument record will be updated for scenario 1 result only.

Refer Cash Flow Calculations chapter for detail on how this is calculated by Cash Flow Engine.

Note:

For update back to instrument table, Modified Duration and Market Value data are used from instrument table stored in MODIFIED_DURAION_C and MARKET_VALUE_C, respectively. For output at Result Master or Consolidated Master Modified Duration and Market, Value data is used from Result Master and Consolidated Master, respectively.

There may be cases, where the ALM Process fails with an error while inserting FSI_O_RESULT_MASTER/FSI_O_CONSILIDATED_MASTER table. This is caused due to calculated DV01 value size larger than permitted DV01 column size.

To handle this condition, there has been a new configuration entry named "DV01_FLAG" in the SETUP_MASTER table which is by default set to "N", exhibiting existing Engine behavior. When this is set as Y, the DV01 value will be defaulted to `0' before getting output and stored in FSI_O_RESULT_MASTER/FSI_O_CONSILIDATED_MASTER.

Hence, you need to set this value to Y if the above issue is observed.