11.15 Access Transfer Pricing Interest Rate Audit Results

Forward Rates and 1 Month Rates audit results can be written to an audit table to facilitate validation of option cost results.

Within the Stochastic Transfer Pricing Process Audit Block, selecting the Forward Rates option allows you to audit the static spread calculations, and the 1 Month Rates option allows you to audit the option-adjusted spread calculations by writing out the different paths of one-month rates. Since 360 one-month rates are written out for each rate path, the process can be time-consuming.

The Forward Rates and 1 Month Rates audit results are written to the FSI_INTEREST_RATES_AUDIT table.