SAP ABAP IMG Activity /BA1/VC_TF4_IR (Edit Reference Interest Rates and Yield Curves)

Hierarchy

☛ SAP_BS_FND (Software Component) SAP Business Suite Foundation
   ⤷ CA-FS-MKD (Application Component) Basic Market Data
     ⤷ /BA1/F4_IR (Package) Market Data: Interest Rates

IMG Activity

ID	/BA1/VC_TF4_IR	Edit Reference Interest Rates and Yield Curves
Transaction Code	/BA1/26000088	(empty)
Created on	20010822
Customizing Attributes	/BA1/VC_TF4_IR	Edit Reference Interest Rates and Yield Curves
Customizing Activity	/BA1/VC_TF4_IR	Edit Reference Interest Rates and Yield Curves

Document

Document Class	SIMG	Hypertext: Object Class - Class to which a document belongs.
Document Name	/BA1/VC_TF4_IR

Use

In this IMG activity, you create reference interest rates and yield curve types.

• Reference Interest Rates

  A reference interest rate is used to store interest rates. An interest rate is defined as a percentage of a reference interest rate on a specific date. It uses the interest rate conditions defined for the reference interest rate. Interest rate conditions include the currency, day count convention, calendar, payment frequency, term, and any working day rules. You specify these conditions for each reference interest rate that you define.

  In the application, you can assign specific values for specific days to the reference interest rates.

• Yield Curve Types

  Yield curve types provide you with a means of dividing the market up into separate segments. Yield curve type 1, say, might contain the yield curves for the swap market whereas yield curve type 2 might be used for the yield curves of the bond market.

  Within a given yield curve type, you can define a yield curve for each currency. Each yield curve then has a yield curve structure. You can assign any number of reference interest rates to a yield curve structure. When you assign reference interest rates, you give the yield curve structure a relative time period that is derived implicitly from the (relative) terms specified for the reference interest rates. When the actual interest rates on a given date are written to the reference interest rates, the system can generate yield curves for the date in question. To start with, these curves contain only the real-life values entered (that is, the values represented as points). By interpolating, however, it is possible to calculate interest rates at any other points on the term axis.

For more information, see the SAP Library: Bank Services -> Foundation -> Market Data -> Interest.

Note: Yield curves have interest rate conditions similar to those of the reference interest rates. However, if an application such as Profit Analyzer accesses yield curves, it reads an interest rate with the interest rate conditions defined for the yield curve and not those defined for the reference interest rate.

Requirements

You have defined at least one market data area in the IMG activity Create Market Data Area.

Standard settings

Activities

1. Select the market data area for which you want to create reference interest rates and yield curve types.

On the initial screen for creating reference interest rates:

1. If you have already created reference interest rates, the system displays a list of these. Select the reference interest rate in question, and choose Goto -> Details to go to the detailed screen of that reference interest rate. If you want to create a new reference interest rate, choose New Entries. The detailed screen appears automatically.
2. Enter an ID and short description for the reference interest rate.

   Define conditions for the reference interest rate:

• Currency
• Day count convention
• Term (and time unit)
• Interest payment frequency
• Compounding frequency
• Calendar
• Number of working days for interest fixing
• Work day shift
• Maturity at month end
• Forward yield curve type
• Can be used intraday

Creating and editing spread types

1. If you have already created spread types, the system displays a list of these. If you want to create a new spread type, choose New Entries.
2. Enter an ID and description for the spread type.

Creating and editing yield curve types

1. Enter an ID and short description for the yield curve type.
2. Note that the only yield curve category available at present is Yield Curve.
3. Select a yield curve type, and switch to the Yield Curves view by selecting the Yield Curves folder icon in the dialog structure on the left.
4. If you have already created yield curves for the yield curve type in question, the system displays a list of these yield curves. Select the yield curve in question, and choose Goto -> Details to go to the detailed screen of that yield curve. To create a new yield curve, choose New Entries to access the detailed screen.
5. Select the currency for which you want to define a yield curve.
6. Define interest rate conditions for the yield curve. You might enter the following information for each yield curve here:
• Spread Type
• Construction Category
• Day count convention
• Calculation Procedure
• Extrapolation Method
• Maximum Age of Interest Rate
• Maximum Age of Spread
• Calendar
• Payment Frequency
• Compounding Frequency
• Day Shift
• Work Day Shift
• Maturity at Month End
• Par Bond Method
• Max. Term for Exponential Calculation of Par Bond Yield
• Can be used intraday
7. If you want to create the yield curve and interest rate conditions for another currency, choose Next Entry.
8. Go to the Points for Yield Curves view. On this screen, you can assign reference interest rates as points on the yield curve in question.
9. Make sure you select reference interest rates that are intended for use as points on the yield curve in question.
   Note: You can use intraday reference rates only for yield curves that can be used for intraday rates.

Example yield curve

Reference interest rates:

Name        Currency    Day Count Convention    Term

EUR 01 Year Middle        EURO    ACT/360    1 year

EUR 02 Years Middle        EURO    ACT/360    2 years

EUR 03 Years Middle        EURO    ACT/360    3 years

Interest rates:

Name        Interest Rate    Key Date

EUR 01 Year Middle        3,5%    01.01.2001

EUR 02 Years Middle        3,9%    01.01.2001

EUR 03 Years Middle        4,5%    01.01.2001

Yield curve definition:

Yield Curve Type    Currency    Reference Interest Rates

Swaps    EURO    EUR 01 Year Middle

        EUR 02 Years Middle

        EUR 03 Years Middle

On the basis of this data, you would have the following yield curve on January 1, 2001:

Yield curve type: Swap

Currency: EURO

Date: 01.01.01

Interest Rate Date    Number of Days    Par Rate    Discount Factor

.01.2002    365    3.5000000    0.966183575

.01.2003    730    3.9000000    0.926197152

.01.2004    1,095    4,5000000    0.875447720

Business Attributes

ASAP Roadmap ID	203	Establish Master Data
Mandatory / Optional	1	Mandatory activity
Critical / Non-Critical	1	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	/BA1/VC_TF4_IR	0	/BA1/BT60000031	Basic Market Data

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
/BA1/VC_TF4_IR	C - View cluster	SM34		☐	☐

History

Last changed by/on	SAP	20120404
SAP Release Created in	10