SAP ABAP Class CL_KFRA_VAR_CALCULATOR (Value-at-Risk 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_VAR_CALCULATOR
Short Description	Value-at-Risk Calculator
Super Class
Instantiability of a Class	2	Public
Final	☑

General Data

Message Class
Program status
Category	0
Package	CFM_AFWKFRA	CFM Risk Analyzer Key Figure Management
Created	20000719	SAP
Last change	20060703	SAP
Shared Memory-enabled	☐
Fixed point arithmetic	☑
Unicode checks active	☑

Forward declarations

#	Type group / Object type	Type	Type Description
1	TVST	Type group use (TYPE-POOLS tp)	Type group use (TYPE-POOLS tp)

Interfaces

Class CL_KFRA_VAR_CALCULATOR has no interface implemented.

Friends

Class CL_KFRA_VAR_CALCULATOR has no friend class.

Attributes

#	Attribute	Level	Visibility	Read only	Typing	Associated Type	Initial Value	Description	Created on
1	FLG_SAP_SERVICE	Static Attribute	Private	☐	Type reference (TYPE)	AFWGO_FLG_SAP_SERVICE		Flag for Service - Blocks all Database Updates	20051117

Methods

#	Method	Level	Visibility	Method type	Description	Created on
1	AGGREGATE_SIM_PL	Static method	Public	Method	Summarize VaR Acc. to Simulation Procedure	20040505
2	DELTA_GAMMA	Static method	Public	Method	Summarize Delta/Gamma Positions	20000720
3	DELTA_GAMMA_AGGREGATION	Static method	Private	Method	Delta/Gamma: Summarization Across Portfolio Hierarchy	20000720
4	ERROR_MESSAGES	Static method	Private	Method	Collect Error Messages from BAPI-Error	20000922
5	GET_PH_FOR_EVALPROC	Static method	Private	Method	Service: Read Portfolio Hierarchies for Final Results Proc.	20000720
6	PAR_KF_DEFINITION	Static method	Private	Method	Set Parameters: Read Parameters from RAD0 and RAK1	20000720
7	PAR_PATH_AGGREGATION	Static method	Private	Method	Set Parameters: Summarized Items	20000720
8	PAR_RA_INIT	Static method	Private	Method	Intialize Risk Analyzer for Variance/Covariance Approach	20000802
9	PAR_VAR_COMPUTE	Static method	Private	Method	Set Parameters: Calculate VaR from Distribution	20000720
10	SAVE_DATA	Static method	Private	Method	VaR: Data Backup	20000720
11	SET_SERVICE_MODE	Static method	Public	Method	Set Service Mode	20051117
12	SIM_KF_DEFINITION	Static method	Private	Method	Simulation: Read Parameters from RAV1 and RAG1	20000720
13	SIM_PATH_AGGREGATION	Static method	Private	Method	Simulation: Summarization Across the Portfolio Hierarchy	20000719
14	SIM_VAR_COMPUTE	Static method	Private	Method	Simulation: Calculate VaR from Distribution	20000719
15	VAR_PARAMETERIZATION	Static method	Public	Method	Summarize VaR Acc. to Parameterization Procedure	20000720
16	VAR_SIMULATION	Static method	Public	Method	Summarize VaR Acc. to Simulation Procedure	20000719
17	VAR_SIMULATION_CALC	Static method	Public	Method	Calculate VaR Acc. to Simulation Procedure	20000822
18	VAR_SIMULATION_INDEX	Static method	Public	Method	Calculate Sample Index for Confidence Level	20000919

Events

Class CL_KFRA_VAR_CALCULATOR has no event.

Types

Class CL_KFRA_VAR_CALCULATOR has no local type.

Method Signatures

Method AGGREGATE_SIM_PL Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	IREF_MSG_HANDLER	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler Endergebnisverfahren	20040505
2	Importing	IT_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF_T		Zuordnung Kennzahl-Basiskennzahl	20040505
3	Importing	I_DATASTR	Call by reference	☐	Type reference (TYPE)	JBRRMBID		Analysestruktur	20040505
4	Importing	I_EVALPROC	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALPROC_2		Auswertungsverfahren Endergebnissätze: Definition	20040505
5	Importing	I_KEYDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Stichtag	20040505
6	Importing	I_PH_TESTMODE	Call by reference	☐	Type reference (TYPE)	AFWCH_FLAG_SELE	' '	X =PH mit Filtertestselektionen	20040510

Method AGGREGATE_SIM_PL on class CL_KFRA_VAR_CALCULATOR has no exception.

Method DELTA_GAMMA Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	IREF_MSG_HANDLER	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler Endergebnisverfahren	20000922
2	Importing	IT_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF_T		Zuordnung Kennzahl-Basiskennzahl	20000720
3	Importing	I_DATASTR	Call by reference	☐	Type reference (TYPE)	JBRRMBID		Analysestruktur	20000720
4	Importing	I_EVALPROC	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALPROC_2		Auswertungsverfahren Endergebnissätze: Definition	20000720
5	Importing	I_KEEP_DATA	Call by reference	☑	Type reference (TYPE)	C		Verdichtungsdaten ins memory exportieren	20000720
6	Importing	I_KEYDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Stichtag	20000720
7	Importing	I_PH_TESTMODE	Call by reference	☐	Type reference (TYPE)	AFWCH_FLAG_SELE	' '	PH mit Filtertestselektionen	20040510

Method DELTA_GAMMA on class CL_KFRA_VAR_CALCULATOR has no exception.

Method DELTA_GAMMA_AGGREGATION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	ET_NSUM_TBP	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_NSUM_TBP_T		RA Results Database: Items (Delta/Gamma)	20000720
2	Exporting	E_PHIERA	Call by reference	☐	Type reference (TYPE)	AFW_PHIERA		Portfolio Hierarchy	20000720
3	Importing	IR_MSG	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler: Final Results Procedure	20000922
4	Importing	IT_XSUM_TBP	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_SUM_TBP_T		RA RDB: Table Type Key Figure BKP	20000720
5	Importing	I_KF	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Test	20000720
6	Importing	I_PH	Call by reference	☐	Type reference (TYPE)	JBRPHDEF		Definitions Used to Derive Portfolio Hierarchy	20000720
7	Importing	I_PH_TESTMODE	Call by reference	☐	Type reference (TYPE)	AFWCH_FLAG_SELE	''	PH mit Filtertestselektionen	20040510

Method DELTA_GAMMA_AGGREGATION on class CL_KFRA_VAR_CALCULATOR has no exception.

Method ERROR_MESSAGES Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	IREF_MSG_HANDLER	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler: Final Results Procedure	20000922

Method ERROR_MESSAGES on class CL_KFRA_VAR_CALCULATOR has no exception.

Method GET_PH_FOR_EVALPROC Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	ET_PH	Call by reference	☐	Type reference (TYPE)	AFWCH_PH_DEF_T		Portfolio Hierarchy Definitions (Table)	20000720
2	Exporting	E_VIEW	Call by reference	☐	Type reference (TYPE)	JBRSICHTID		View of an Analysis Structure	20000720
3	Importing	I_EVALPROC	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALPROC_2		Evaluation Procedure Final Results Records: Definition	20000720
4	Importing	I_KEYDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Auswertungsdatum	20031211

Method GET_PH_FOR_EVALPROC on class CL_KFRA_VAR_CALCULATOR has no exception.

Method PAR_KF_DEFINITION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_KD0	Call by reference	☐	Type reference (TYPE)	AFWKFRA_KD0		Key Figures: Positions in Risk Hierarchy	20000802
2	Exporting	E_KVK	Call by reference	☐	Type reference (TYPE)	AFWKFRA_KVK		Key Figures: Value at Risk with Parameters	20000802
3	Importing	I_EVALDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Evaluation Date	20010328
4	Importing	I_RAD0	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Test	20000720
5	Importing	I_RAK1	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Test	20000720

Method PAR_KF_DEFINITION on class CL_KFRA_VAR_CALCULATOR has no exception.

Method PAR_PATH_AGGREGATION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	ET_NSUM_TBP	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_NSUM_TBP_T		RA Selection Interface: P&L Distributions	20000720
2	Importing	IR_MSG	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler: Final Results Procedure	20000922
3	Importing	I_DATASTR	Call by reference	☐	Type reference (TYPE)	JBRRMBID		Analysis Structure	20000720
4	Importing	I_EVALDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Evaluation Date	20000720
5	Importing	I_KF	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Test	20000720
6	Importing	I_PH	Call by reference	☐	Type reference (TYPE)	JBRPHDEF		Definitions Used to Derive Portfolio Hierarchy	20000720
7	Importing	I_PH_TESTMODE	Call by reference	☐	Type reference (TYPE)	AFWCH_FLAG_SELE	' '	X =PH mit Filtertestselektionen	20040510

Method PAR_PATH_AGGREGATION on class CL_KFRA_VAR_CALCULATOR has no exception.

Method PAR_RA_INIT Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_SPARA	Call by reference	☐	Type reference (TYPE)	JBRHSSPARI		Parameters for Evaluations (Include)	20000802
2	Importing	I_EVALDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Evaluation Date	20000802
3	Importing	I_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF		Test	20000802

Method PAR_RA_INIT on class CL_KFRA_VAR_CALCULATOR has no exception.

Method PAR_VAR_COMPUTE Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	ET_NSUM_TVK	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_NSUM_TVK_T		RA Results Interface: Value at Risk	20000720
2	Importing	IR_MSG	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler: Final Results Procedure	20000922
3	Importing	IT_NSUM_TBP	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_NSUM_TBP_T		RA Results Interface: P&L Distributions	20000720
4	Importing	I_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF		VaR Determination Procedure from a Distribution	20000720
5	Importing	I_SPARA	Call by reference	☐	Type reference (TYPE)	JBRHSSPARI		Evaluation Date	20000802

Method PAR_VAR_COMPUTE on class CL_KFRA_VAR_CALCULATOR has no exception.

Method SAVE_DATA Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	IR_MSG	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler: Final Results Procedure	20000922
2	Importing	IT_NSUM_TBG	Call by reference	☑	Type reference (TYPE)	RDBRA_INTF_NSUM_TBG_T		RA RDB: Table Type Key Figure BKG - Non-Additive	20000720
3	Importing	IT_NSUM_TVK	Call by reference	☑	Type reference (TYPE)	RDBRA_INTF_NSUM_TVK_T		RA RDB: Table Type Key Figure BKV - Non-Additive	20000720
4	Importing	I_EVALDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Evaluation Date	20000720
5	Importing	I_EVALPROC	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALPROC_2		Evaluation Procedure Final Results Records: Definition	20000720
6	Importing	I_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF		Assignment of Key Figure to Basic Key Figure	20000720
7	Importing	I_PHIERA	Call by reference	☐	Type reference (TYPE)	AFW_PHIERA		Portfolio Hierarchy	20000720

Method SAVE_DATA on class CL_KFRA_VAR_CALCULATOR has no exception.

Method SET_SERVICE_MODE Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	I_FLG_SAP_SERVICE	Call by reference	☐	Type reference (TYPE)	AFWGO_FLG_SAP_SERVICE		Flag für Service - unterbindet alle DB-Verbuchungen	20051117

Method SET_SERVICE_MODE on class CL_KFRA_VAR_CALCULATOR has no exception.

Method SIM_KF_DEFINITION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_CONFID	Call by reference	☐	Type reference (TYPE)	AFWKFRA_CONFIDENCE		Confidence Level for VaR Calculation	20000720
2	Exporting	E_DISTRIB	Call by reference	☐	Type reference (TYPE)	AFWKFRA_DISTRIBUTION		VaR Determination Procedure from a Distribution	20000720
3	Exporting	E_SIMNR	Call by reference	☐	Type reference (TYPE)	AFWKFRA_SIMNR		Number of Simulation Runs	20000720
4	Importing	I_EVALD	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Evaluation Date	20010328
5	Importing	I_KFRAG1	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Test	20000720
6	Importing	I_KFRAV1	Call by reference	☐	Type reference (TYPE)	AFWKF_DEFINITION		Test	20000720

Method SIM_KF_DEFINITION on class CL_KFRA_VAR_CALCULATOR has no exception.

Method SIM_PATH_AGGREGATION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Changing	CT_NSUM_TBG	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_NSUM_TBG_T		RA: Final Results for P&L Distributions	20000719
2	Importing	IR_MSG	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler: Final Results Procedure	20000922
3	Importing	IT_PHTREE	Call by reference	☐	Type reference (TYPE)	AFWCH_PH_TREE_T		Tree Structure of Portfolio Hierarchy (Table)	20000719
4	Importing	IT_SUM_TBG	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_SUM_TBG_T		RA Selection Interface: P&L Distributions	20000719
5	Importing	I_LEAF	Call by reference	☐	Type reference (TYPE)	AFW_PHNODE		Portfolio Hierarchy Node	20000719

Method SIM_PATH_AGGREGATION on class CL_KFRA_VAR_CALCULATOR has no exception.

Method SIM_VAR_COMPUTE Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	ET_NSUM_TVK	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_NSUM_TVK_T		RA Results Interface: Value at Risk	20000720
2	Importing	IR_MSG	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler: Final Results Procedure	20000922
3	Importing	IT_NSUM_TBG	Call by reference	☐	Type reference (TYPE)	RDBRA_INTF_NSUM_TBG_T		RA Results Interface: P&L Distributions	20000720
4	Importing	I_EVALD	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Evaluation Date	20010328
5	Importing	I_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF		VaR Determination Procedure from a Distribution	20000720

Method SIM_VAR_COMPUTE on class CL_KFRA_VAR_CALCULATOR has no exception.

Method VAR_PARAMETERIZATION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	IREF_MSG_HANDLER	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler Endergebnisverfahren	20000922
2	Importing	IT_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF_T		Zuordnung Kennzahl-Basiskennzahl	20000720
3	Importing	I_DATASTR	Call by reference	☐	Type reference (TYPE)	JBRRMBID		Analysestruktur	20000720
4	Importing	I_EVALPROC	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALPROC_2		Auswertungsverfahren Endergebnissätze: Definition	20000720
5	Importing	I_KEYDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Stichtag	20000720
6	Importing	I_PH_TESTMODE	Call by reference	☐	Type reference (TYPE)	AFWCH_FLAG_SELE	' '	X =PH mit Filtertestselektionen	20040510

Method VAR_PARAMETERIZATION on class CL_KFRA_VAR_CALCULATOR has no exception.

Method VAR_SIMULATION Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	IREF_MSG_HANDLER	Call by reference	☐	Object reference (TYPE REF TO)	CL_AFWGO_MSG_HANDLER2		Message Handler Endergebnisverfahren	20000922
2	Importing	IT_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF_T		Zuordnung Kennzahl-Basiskennzahl	20000719
3	Importing	I_DATASTR	Call by reference	☐	Type reference (TYPE)	JBRRMBID		Analysestruktur	20000719
4	Importing	I_EVALPROC	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALPROC_2		Auswertungsverfahren Endergebnissätze: Definition	20000720
5	Importing	I_KEYDATE	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Stichtag	20000719
6	Importing	I_PH_TESTMODE	Call by reference	☐	Type reference (TYPE)	AFWCH_FLAG_SELE	' '	X =PH mit Filtertestselektionen	20040510

Method VAR_SIMULATION on class CL_KFRA_VAR_CALCULATOR has no exception.

Method VAR_SIMULATION_CALC Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Exporting	E_VAR	Call by reference	☐	Type reference (TYPE)	F		Value-at-Risk	20000822
2	Importing	IT_TBG_10	Call by reference	☐	Type reference (TYPE)	RDBRA_INCL_VAL10_T		RDB RA: Tabelle der GuV-Verteilung in 10er Blockung	20000822
3	Importing	I_EVALD	Call by reference	☐	Type reference (TYPE)	AFWGO_EVALDATE		Auswertungsdatum	20010328
4	Importing	I_KFBF	Call by reference	☐	Type reference (TYPE)	AFWKF_KFBF		Zuordnung Kennzahl-Basiskennzahl	20000822

#	Exception	Resumable	Description	Created on
1	NO_CALC	☐	VaR kann nicht berechnet werden	20000925

Method VAR_SIMULATION_INDEX Signature

#	Type	Parameter	Pass Value	Optional	Typing Method	Associated Type	Default value	Description	Created on
1	Importing	I_ADDON	Value transfer	☐	Type reference (TYPE)	I	1	Add-on (0,1)	20010220
2	Importing	I_CONFIDENCE	Value transfer	☐	Type reference (TYPE)	F		Konfidenzniveau	20000919
3	Importing	I_SIZE	Value transfer	☐	Type reference (TYPE)	I		Simulationsumfang	20000919
4	Returning	R_INDEX	Value transfer	☐	Type reference (TYPE)	I		VaR-Index	20000919

Method VAR_SIMULATION_INDEX on class CL_KFRA_VAR_CALCULATOR has no exception.

History

Last changed by/on	SAP	20060703
SAP Release Created in	462_10