Hierarchy
BBPCRM (Software Component) BBPCRM⤷
CRM (Application Component) Customer Relationship Management⤷
CRM_APPLICATION (Package) All CRM Components Without Special Structure Packages⤷
FTA (Package) R/3 appl. development for Treasury money,forex,forward gen
IMG Activity
| ID | INTR_VOLA_CURV_MRM | Enter Interest Rate Volatility Curve |
| Transaction Code | S_ALR_87008529 | IMG activity: INTR_VOLA_CURV_MRM |
| Created on | 19990114 | |
| Customizing Attributes | INTR_VOLA_CURV_MRM | Enter Interest Rate Volatility Curve |
| Customizing Activity | INTR_VOLA_CURV_MRM | Enter Interest Rate Volatility Curve |
Document
| Document Class | SIMG | Hypertext: Object Class - Class to which a document belongs. |
| Document Name | INTR_VOLA_CURV_MRM |
In this table, you can enter the interest rate volatilities for certain interest rate volatility curves directly.
Use
The way a yield curve is generated in the system depends on whether the interest rates are in the yield category 'par rate' or 'Zero bond rate'
- If the yield category is par rate, the system generates zero bond rates and zero bond discounting factors.
- If the yield category is zero bond rate, the system only generate zero bond discounting factors, and no par rates.
To carry out value at risk evaluations using the variance/covariance approach, the system requires interest rate volatilities on the basis of zero bond rates. If a yield curve only contains interest in the yield category, zero bond rate, the system can access the interest rates directly. If, on the other hand, a yield curve contains interest in the yield category par rate, the system requires additional information in order to identify the zero bond rates to be used for the volatility calculations. This information is taken from the details for the interest rate volatility curve.
If you have only defined yield curves with the yield category zero bond rate in your risk hierarchy, no settings are necessary for the interest rate volatility curve.
If your risk hierarchy also contains yield curves with the yield category par rate, you must enter the interest rate volatilities this table.
Further notes
For more information about using volatilities in Market Risk Management, see the SAP Library:
AC - Accounting -> Treasury -> Market risk management -> Price parameters -> Volatilities.
Business Attributes
| ASAP Roadmap ID | 203 | Establish Master Data |
| Mandatory / Optional | 2 | Optional 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 | INTR_VOLA_CURV_MRM | 0 | KFM0000015 O | |
| SIMG | INTR_VOLA_CURV_MRM | 1 | KFM0000001 | Treasury and Risk Management |
| SIMG | INTR_VOLA_CURV_MRM | 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 |
| V_ATZVO | V - View | SM30 | TR-LEG | Maintenance view interest volatilities with curve information |
History
| Last changed by/on | SAP | 20000810 |
| SAP Release Created in |
