SAP ABAP Class CL_KFRA_SENSITIVITY_CALCULATOR (Sensitivity Calculator)

Hierarchy

☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
     ⤷ CFM_AFWKFRA (Package) CFM Risk Analyzer Key Figure Management

Properties

Class	CL_KFRA_SENSITIVITY_CALCULATOR
Short Description	Sensitivity Calculator
Super Class
Instantiability of a Class	2	Public
Final	☑

General Data

Message Class
Program status	P	SAP Standard Production Program
Category	0
Package	CFM_AFWKFRA	CFM Risk Analyzer Key Figure Management
Created	20000713	SAP
Last change	20040819	SAP
Shared Memory-enabled	☐
Fixed point arithmetic	☑
Unicode checks active	☑

Forward declarations

Class CL_KFRA_SENSITIVITY_CALCULATOR has no forward declaration.

Interfaces

Class CL_KFRA_SENSITIVITY_CALCULATOR has no interface implemented.

Friends

Class CL_KFRA_SENSITIVITY_CALCULATOR has no friend class.

Attributes

#	Attribute	Level	Visibility	Read only	Typing	Associated Type	Initial Value	Description	Created on
1	KEYDATE	Static Attribute	Private	☐	Type reference (TYPE)	AFWGO_EVALDATE		Evaluation Date	20000717
2	KFPATH	Static Attribute	Private	☐	Type reference (TYPE)	AFWKF_KFPATH_T		Key Figure Table with Path per Key Figure	20000714
3	KFREC	Static Attribute	Private	☐	Type reference (TYPE)	RDB_READ_KEYFIGURE_T		Read Results Database: Key Figures (Table)	20000726
4	KFSUM	Static Attribute	Private	☐	Type reference (TYPE)	RDB_READ_KEYFIGURE_T		Read Results Database: Key Figures (Table)	20000726

Methods

#	Method	Level	Visibility	Method type	Description	Created on
1	AGGREGATE_PORTFOLIO_RAWDATA	Static method	Public	Method	Preliminary Summarization of Raw Data	20000731
2	CALC_KF_RABK1	Static method	Private	Method	Calculates Modified Duration	20000714
3	CALC_KF_RABK2	Static method	Private	Method	Calculates Convexity	20000714
4	CALC_KF_RABM	Static method	Private	Method	Calculates Macaulay Duration	20000714
5	CALC_KF_RABPV	Static method	Private	Method	Calculates PVBP	20000714
6	CALC_SUM_RAB01	Static method	Private	Method	Calculates Key Figure Totals	20000714
7	CALC_SUM_RABK0	Static method	Private	Method	Calculates Key Figure Totals	20000714
8	GET_PORTFOLIO_RAWDATA	Static method	Public	Method	Supplies Raw Data for Aggregation at End-Node Level	20000713
9	START_CALCULATION	Static method	Public	Method	Start of Yield Calculation	20000713
10	VALUE_CONVEXITY	Static method	Public	Method	Value of Convexity	20000905
11	VALUE_MOD_DURATION	Static method	Public	Method	Value of Modified Duration	20000905
12	VALUE_PVBP	Static method	Public	Method	Value of PVBP	20000905

Events

Class CL_KFRA_SENSITIVITY_CALCULATOR has no event.

Types

Class CL_KFRA_SENSITIVITY_CALCULATOR has no local type.

Method Signatures

Method AGGREGATE_PORTFOLIO_RAWDATA Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Changing	C_PORTFOLIO_RAWDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000731
2	Importing	I_PORTFOLIO_RAWDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000731

Method AGGREGATE_PORTFOLIO_RAWDATA on class CL_KFRA_SENSITIVITY_CALCULATOR has no exception.

Method CALC_KF_RABK1 Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_KFVALUE	Value transfer	☐	Type reference (TYPE)	F		Kennzahlwert	20000714
2	Importing	I_BASE1	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
3	Importing	I_BASE2	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
4	Importing	I_RDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000714

#	Exception	Resumable	Description	Created on
1	NO_COMPUTE	☐	Kennzalen können nicht berechnet werden	20000717

Method CALC_KF_RABK2 Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_KFVALUE	Value transfer	☐	Type reference (TYPE)	F		Kennzahlwert	20000714
2	Importing	I_BASE1	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
3	Importing	I_BASE2	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
4	Importing	I_RDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000714

#	Exception	Resumable	Description	Created on
1	NO_COMPUTE	☐	Kennzahlen können nicht berechnet werden	20000717

Method CALC_KF_RABM Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Changing	CT_RECGEN	Call by reference	☐	Type reference (TYPE)	RDB_REC_VGEN_T		Rohdaten zur Übergabe zwischen Portfolios	20000717
2	Exporting	E_KFVALUE	Value transfer	☐	Type reference (TYPE)	F		Kennzahlwert	20000714
3	Importing	I_BASE1	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
4	Importing	I_BASE2	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714

#	Exception	Resumable	Description	Created on
1	NO_COMPUTE	☐	Kennzahlen können nicht berechnet werden	20000717

Method CALC_KF_RABPV Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_KFVALUE	Value transfer	☐	Type reference (TYPE)	F		kennzahlwert	20000714
2	Importing	I_BASE1	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
3	Importing	I_BASE2	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
4	Importing	I_RDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000714

#	Exception	Resumable	Description	Created on
1	NO_COMPUTE	☐	Kennzahlen können nicht berechnet werden	20000717

Method CALC_SUM_RAB01 Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_SUM	Value transfer	☐	Type reference (TYPE)	F		Summe	20000714
2	Importing	I_KEYFIGURE	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahl	20000714
3	Importing	I_PF_RAWDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000714

#	Exception	Resumable	Description	Created on
1	NOT_FOUND	☐	Keine Werte zur Kennzahl	20000714

Method CALC_SUM_RABK0 Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_SUM1	Value transfer	☐	Type reference (TYPE)	F		Summe Bawert +	20000714
2	Exporting	E_SUM2	Value transfer	☐	Type reference (TYPE)	F		Summe Barwert -	20000714
3	Importing	I_KEYFIGURE	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Kennzahldefinition	20000714
4	Importing	I_PF_RAWDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000714

#	Exception	Resumable	Description	Created on
1	NOT_FOUND	☐	Keine Werte zur Kennzahl	20000714

Method GET_PORTFOLIO_RAWDATA Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Changing	C_PF_RAWDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000714
2	Importing	IREF_MSG_HANDLER	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler Endergebnisverfahren	20000921
3	Importing	IT_KFCLASS	Call by reference	☐	Type reference (TYPE)	AFWGO_KFCLASSIFICATION_T		Klassifizierung von Kennzahlen	20000714
4	Importing	I_DATASTR	Call by reference	☐	Type reference (TYPE)	JBRRMBID		Analysestruktur	20000714
5	Importing	I_KEYDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Auswertungsdatum	20000714
6	Importing	I_NODE	Call by reference	☐	Type reference (TYPE)	AFW_PHNODE		Knoten der Portfoliohierarchie	20000714
7	Importing	I_PHID	Call by reference	☐	Type reference (TYPE)	JBRPHID		Portfoliohierarchie	20000714
8	Importing	I_PH_TESTMODE	Call by reference	☐	Type reference (TYPE)	AFWCH_FLAG_SELE	' '	X =PH mit Filtertestselektionen	20040510
9	Importing	I_VIEW	Call by reference	☐	Type reference (TYPE)	JBRSICHTID		Sicht einer Analysestruktur	20000714

Method GET_PORTFOLIO_RAWDATA on class CL_KFRA_SENSITIVITY_CALCULATOR has no exception.

Method START_CALCULATION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Changing	C_PF_RAWDATA	Call by reference	☐	Type reference (TYPE)	AFWGO_PORTFOLIO_RAWDATA		Rohdaten zur Übergabe zwischen Portfolios	20000717
2	Exporting	ET_NSUM_GENTAB	Call by reference	☐	Type reference (TYPE)	RDB_INTF_NSUM_GENVALUES_TAB		ErgebnisDB-Schnittstelle: Tabelle nichtadd.KZen (gener.)	20000717
3	Importing	IREF_MSG_HANDLER	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler Endergebnisverfahren	20000921
4	Importing	IT_KFCLASS	Call by reference	☐	Type reference (TYPE)	AFWGO_KFCLASSIFICATION_T		Klassifizierung von Kennzahlen	20000714
5	Importing	I_NODE	Call by reference	☐	Type reference (TYPE)	AFW_PHNODE		Knoten der Portfoliohierarchie	20000714

Method START_CALCULATION on class CL_KFRA_SENSITIVITY_CALCULATOR has no exception.

Method VALUE_CONVEXITY Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	I_NPV_0	Call by reference	☐	Type reference (TYPE)	F		Barwert	20000905
2	Importing	I_NPV_MINUS	Call by reference	☐	Type reference (TYPE)	F		Barwert -1 Basispunkt	20000905
3	Importing	I_NPV_PLUS	Call by reference	☐	Type reference (TYPE)	F		Barwert +1 Basispunkt	20000905
4	Returning	R_CONVEXITY	Value transfer	☐	Type reference (TYPE)	F		Konvexität	20000905

Method VALUE_CONVEXITY on class CL_KFRA_SENSITIVITY_CALCULATOR has no exception.

Method VALUE_MOD_DURATION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	I_NPV_0	Call by reference	☐	Type reference (TYPE)	F		Barwert	20000905
2	Importing	I_NPV_MINUS	Call by reference	☐	Type reference (TYPE)	F		Barwert -1 Basispunkt	20000905
3	Importing	I_NPV_PLUS	Call by reference	☐	Type reference (TYPE)	F		Barwert +1 Basispunkt	20000905
4	Returning	R_MOD_DURATION	Value transfer	☐	Type reference (TYPE)	F		Modified Duration	20000905

Method VALUE_MOD_DURATION on class CL_KFRA_SENSITIVITY_CALCULATOR has no exception.

Method VALUE_PVBP Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	I_NPV_0	Call by reference	☐	Type reference (TYPE)	F		Barwert	20000905
2	Importing	I_NPV_PLUS	Call by reference	☐	Type reference (TYPE)	F		Barwert +1 Basispunkt	20000905
3	Returning	R_PVBP	Value transfer	☐	Type reference (TYPE)	F		Basispunktwert	20000905

Method VALUE_PVBP on class CL_KFRA_SENSITIVITY_CALCULATOR has no exception.

History

Last changed by/on	SAP	20040819
SAP Release Created in	462_10