SAP ABAP IMG Activity /BA1/VC_TF4_MSTR (Edit Maturity Structures)
Hierarchy
☛ SAP_BS_FND (Software Component) SAP Business Suite Foundation
   ⤷ CA-FS-MKD (Application Component) Basic Market Data
     ⤷ /BA1/F4_YC (Package) Market Data: Yield Curves
IMG Activity
ID /BA1/VC_TF4_MSTR Edit Maturity Structures  
Transaction Code /BA1/79000153   (empty) 
Created on 20061102    
Customizing Attributes /BA1/VC_TF4_MSTR   Edit Maturity Structures 
Customizing Activity /BA1/VC_TF4_MSTR   Edit Maturity Structures 
Document
Document Class SIMG   Hypertext: Object Class - Class to which a document belongs.
Document Name /BA1/VC_TF4_MSTR    

Use

In this IMG activity, you create maturity structures.

A maturity structure combines a set of key rates with different maturities (for example, 1, 2, 3, 4, 5, and 10 years) is combined for several currencies and forms the basis for calculating key rate durations.

Note:

Normally, key rates are defined only for selected main currencies such as USD, EUR, and JPY. You can create an empty currency as a standard key rate for all other currencies.

In order to calculate the exact key rate duration, the system moves the yield curve only along one of the key rates, beginning with the shortest maturity, and calculates the net present value. Subsequently, the system moves the yield curve along the next key rate and calculates the net present value again. Thus, the system calculates an individual key rate duration for each maturity using the calculated net present values. The number of key rate durations is therefore identical to the number of key rates that you defined.

Note:

In Bank Analyzer Customizing, under Processes and Methods -> General Calculation and Valuation Methods -> Present Value Calculation -> Price Calculator -> Edit Price Calculator Environments in the "Settings for Price Calculator Environment" view, you can define the value by which the system is to move the yield curve along the key rate. Enter the requested value in the "Interest Rate Shift" field. Bear in mind that the interest rate shift in the price calculator environment does not only apply to the key rate durations, but also to all other shifts on the yield curve.

For more information, see SAP Library under Bank Analyzer -> Source Data Layer -> Primary Objects -> Primary Object: Market Data -> Interest.

Requirements

Standard settings

Activities

  1. Select "New Entries".
  2. Enter an abbreviation for the maturity structure, as well as a meaningful description. The abbreviation may contain up to ten characters.
  3. If the system is to calculate the key rate convexities as well, select the "Key Rate Conv." indicator.
  4. Select the maturity structure, and switch to the "Currencies" view in the dialog structure.
  5. Select "New Entries".
  6. Enter the currency codes of the currencies for which you later want to calculate key rates.

    Note:

    In order to create an empty currency, enter a blank character instead of the currency code.

    You can only create currencies contained in the TCURC table. You can view the currencies contained in the table in the IMG activity Check Currency Codes.

  7. Select a currency code in the view, and switch to the "Attributes" view in the dialog structure.
  8. Select "New Entries".
  9. Enter an abbreviation for the key rate ID, and define the attributes of the key rate.
  10. Save your entries.

Example

Business Attributes
ASAP Roadmap ID 203   Establish Master Data 
Mandatory / Optional 2   Optional 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 /BA1/VC_TF4_MSTR 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_MSTR C - View cluster SM34  
History
Last changed by/on SAP  20120404 
SAP Release Created in 60