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List:       sas-l
Subject:    SAS and Tracking Derivative Securities
From:       Julian Zahalak <j-zahalak () NWU ! EDU>
Date:       1997-05-30 21:17:14
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Greetings!

I have built a small transactions and holdings database for my firm's
derivatives transactions (both exchange-traded and OTC) using SAS. The
task of regularly valuing, calculating gains and losses, and performing
other analysis on our derivative holdings is tricky.  I am certain that,
given enough time and resources, I could program a fair piece of our
pricing in SAS.  On the other hand, I'm not sure how much of this is
worthwhile to do in SAS if other software exists that can handle our
transactions (mostly plain vanilla interest rate swaps, some swaptions,
equity index options, and some weirder stuff).  Our shop is not too
big.  We're not a big international bank that performs scores of
transactions a day, but we put on more than one or two transactions a
month.  I'd like to hear from anyone out there who's used SAS in some
part of managing a portfolio of derivatives.  Did you try to use it for
front-, middle-, or back-office functions?  Did you use it to generate
schedules of future cash flows?  What other software did you use it
with?  Any info at all would be an immense help.

A thousand thanks,

Julian Zahalak
(j-zahalak@nwu.edu)

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