SAP ABAP IMG Activity _V_ATV01 (Define Volatility 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 _V_ATV01 Define Volatility Type  
Transaction Code S_KK4_13000270   IMG Activity: _V_ATV01 
Created on 19990830    
Customizing Attributes _V_ATV01   Define volatility type 
Customizing Activity _V_ATV01   Define volatility type 
Document
Document Class SIMG   Hypertext: Object Class - Class to which a document belongs.
Document Name _V_ATV01    

In this step you create volatility types that are used to price options.

You enter the actual values (volatilities) in the application (market data or scenario data). You assign volatility types within the valuation types.

Example

A volatility curve for the interest rate for the relevant term and that is appropriate for the cap has to be assigned to a dollar cap (for example, 6-M-LIBOR).

Activities

  1. Enter a technical name and a description for the volatility type.
  2. Assign a volatility price type to the volatility type.
  3. For caps and floors set the indicator that defines whether the volatility is to be interpreted as a single value or as an average value.
  4. Set the Statistical Calculation Type indicator if you want the system to estimate the volatilities, or use data feed to obtain the volatilities (based on data from JP Morgan or for the Basel Accords).
  5. Save your entries.

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 _V_ATV01 0 I510000051 Risk Analysis 
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
V_ATVO1 V - View SM30 ISB RM Volatility Type View 
History
Last changed by/on SAP  19990830 
SAP Release Created in