Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer⤷
FTBB (Package) Risk Management Basis
IMG Activity
| ID | ATVO65 | Assign Yield Curves to Hull-White Volatility |
| Transaction Code | S_ALN_01001619 | (empty) |
| Created on | 20030303 | |
| Customizing Attributes | ATVO65 | Assign Yield Curves to Hull-White Volatility |
| Customizing Activity | ATVO65 | Assign Yield Curves to Hull-White Volatility |
Document
| Document Class | SIMG | Hypertext: Object Class - Class to which a document belongs. |
| Document Name | ATVO65 |
Use
In this IMG activity, you assign a name for the volatility to a combination of the yield curve type and the currency.
Note:
You make this assignment only if you want to use the Hull-White term structure model to value Bermuda options or American options.
When financial instruments are valued, the system takes the yield curve type stored in the valuation rule, and the currency stored in the transaction that is to be valued. The settings you make in this IMG activity tell the system which volatilities belong to which yield curves.
Note:
Note that you can use the Volatility Name field in the valuation rule to override the settings you make in this IMG activity.
Requirements
You must have already defined one or more yield curve types in IMG activity define yield curve type.
You also need to have defined names for the volatilities in IMG activity master data for volatilities.
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 | ATVO65 | 0 | KFM0000001 O | |
| SIMG | ATVO65 | 1 | I510000051 | Risk Analysis |
| SIMG | ATVO65 | 2 | O I070004705 |
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 |
| ATVO65 | S - Table (with text table) | SM30 |
History
| Last changed by/on | SAP | 20030312 |
| SAP Release Created in | 200 |
