SAP ABAP IMG Activity SIMG_CFJB01JBGK (Define Yield Curve Type)
Hierarchy
☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ IS-B-RA (Application Component) Risk Analysis
     ⤷ JBRC (Package) Customizing for SAP Banking Risk Management
IMG Activity
ID SIMG_CFJB01JBGK Define Yield Curve Type  
Transaction Code S_KK4_13000262   IMG Activity: SIMG_CFJB01JBGK 
Created on 19990830    
Customizing Attributes SIMG_CFJB01JBGK   Define Yield Curve Type 
Customizing Activity SIMG_CFJB01JBGK   Define Yield Curve Type 
Document
Document Class SIMG   Hypertext: Object Class - Class to which a document belongs.
Document Name SIMG_CFJB01JBGK    

In this activity you define yield curve types.

You define yield curve types using the attributes yield category, interest calculation method, quotation type, read procedure, interpolation category, and as many currencies as necessary. Then you assign them reference interest rates.

Requirements

You must have defined reference interest rates in the activity Define Reference Interest Rates.

Activities

  1. Initial Screen

    Yield Curve Type

    Enter a number for the curve you wish to edit, or use the keyboard button F4 to view a list of existing yield curve types.

    Yield curve type -> Create creates a new yield curve type with a new number.

    Yield curve type -> Delete deletes all table entries dependent on the yield curve, including entries in the extended interest rate table.

    Yield curve type -> Print displays a list of all yield curve types and their corresponding currencies.

    Yield curve type -> Check yield curves checks all yield curve types and reference interest rates for consistency. Inconsistencies are displayed, along with suggestions as to how to fix them. You should remove all inconsistencies before using the yield curve types.

    Yield curve type -> Transport transports the yield curve type. For purposes of consistency, the master data of the assigned reference interest rates is transported as well.

    Yield curve type -> Change/Display makes the next screen, Currencies, appear.

  2. Subsequent Screen: Currencies

    Create a descriptive text for the yield curve type.

    The yield curve type has the following attributes:

    • Yield category (par coupon curves and zero coupon curves are supported)
    • Quotation type
    • Read procedure
    • Interpolation category
    • Interpolation basis

      Note:

      When you use "original" zero coupon curves, calculation of forward par rates is not supported. In other words, only zero coupon rates are available as the interpolation basis.

      See also: The documentation on interest rate tables in the SAP Library under AC Accounting -> Treasury -> Market risk management -> Price parameters -> Interest rate tables.

      Set the currencies for the yield curve type.

      Edit - > New currencies provides you with a list of currencies to choose from.

      Edit -> Delete selected entries deletes all entries for the selected currencies (including the assignment of reference interest rates).

      If you have selected all currencies, the yield curve type will also be deleted.

      Currencies -> Print displays a list of currencies and assigned reference interest rates for the yield curve type.

      Edit -> Detail reference interest takes you to the next screen, where reference interest rates are set for each currency.

      Select as many currencies as desired.

  3. Next Screen: Reference Interest Rates

    Select the reference interest rates.

    Selecting New reference interest rates provides you with a list of reference interest rates to choose from. These have the same quotation type as the yield curve type, and the same currency as the selected currency (currencies).

    Set the interest calculation method for the currency.

    If the interest calculation method of the reference interest rate differs from that of the currency in the yield curve, the interest calculation method of the currency is used when the interpolation/ calculation process is carried out in the application.

    If desired, maintain the markups/downs in the reference interest rates.

    These markups/downs are added to the reference interest rate when the yield curve is generated. This makes it possible to have several yield curves based on the same reference interest rate that vary on account of constant adjustments.

    Example: A reference interest rate with a term of one month has a markup/down of 0.05. If the yield curve is generated, and the one month reference interest rate is 3.0%, then 3.05% will be used for the yield curve.

    Edit -> Delete selected entries deletes all selected reference interest rates.

    Goto -> Next currency or Previous currency allows you to switch between the currencies selected in the previous screen.

  4. Save your entries.

Additional Information for Single Transaction Costing

In the costing run, the relevant grid values are determined on the basis of the transaction currency of the single transaction and the yield curve type.

The costing rule is independent of currency, regardless of the yield curve type.

Additional Information for the Components SAP Treasury and Risk Management, and Profitability and Risk Analysis Analysis in the SAP Banking Industry Solution

Using the continuous compounding procedure

Select Use continuous compounding procudure if constant zero rates are to form the basis for yield curve interpolation. In continuous compounding zero rate interpolation, the system interpolates in a linear way, regardless of the interpolation procedure you chose.

If you choose continuous compounding, you can extrapolate the yield curve in four different ways, meaning that for terms that are longer than the term of the last available interest rate, one of the following interest rates is kept constant:

  • Choose Same as yield category in order to keep the interest rate set in field Yield category constant. This is either zero rate or par rate, depending on the settings, and corresponds to one of the following settings.
  • Constant zero rate
  • Constant par rate
  • Continuously constant forward rate,

For more information see unit Continuous Compounding Zero Interpolation in the online documentation for interest tables.

Business Attributes
ASAP Roadmap ID 203   Establish Master Data 
Mandatory / Optional 1   Mandatory activity 
Critical / Non-Critical 2   Non-critical 
Country-Dependency A   Valid for all countries 
Assigned Application Components
Documentation Object Class Documentation Object Name Current line number Application Component Application Component Name
SIMG SIMG_CFJB01JBGK 0 I070004705 O  
SIMG SIMG_CFJB01JBGK 1 I510000051 O  
SIMG SIMG_CFJB01JBGK 2 KFM0000001 Treasury and Risk Management 
Maintenance Objects
Maintenance object type C   Customizing Object 
Assigned objects
Customizing Object Object Type Transaction Code Sub-object Do not Summarize Skip Subset Dialog Box Description for multiple selections
JBGK T - Individual transaction object JBGK IS-B Define Yield Curve Type 
History
Last changed by/on SAP  20000810 
SAP Release Created in