32.4 Implied Forward Rates Output

Users have the option to output the implied forward rates to an Audit Table if needed for validating the Transfer Rate result. To support the validation requirement, the FTP engine (optionally) writes the forward rates to an Audit table - FSI_O_FTP_IMP_FWD_RATES_AUDIT. The option to write implied Forward Rates is available in the Standard TP Process on the Audit block.

The Implied Forward Rates audit output is linked to the Detailed Cash Flows selection and Number of Records selection as a way to limit the amount of Forward Rate Output. During processing, the FTP engine will output Forward Rates for any instrument records that also have detailed cash flows output, which is one forward curve corresponding to each instrument record. We assume that users will only need to output implied Forward Rates for a limited set of data records to validate the Forward Curves and the related Transfer Rates generated by the TP engine.

The checkbox Implied Forward Rates will be active only when:

• The Forward Transfer Rate option is selected on the Calculation Selection block.
• The Detailed Cash Flows checkbox is selected in the Audit block.

Figure 32-7 Standard Process