SAP ABAP IMG Activity VOLATILITAETSARTEN (Define Volatility Type)
Hierarchy
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SAP_APPL (Software Component) Logistics and Accounting
⤷
TR (Application Component) Treasury
⤷
FTDF (Package) Treasury: Datafeed TR-TM-TM-TO-DF
SAP_APPL (Software Component) Logistics and Accounting⤷
TR (Application Component) Treasury⤷
FTDF (Package) Treasury: Datafeed TR-TM-TM-TO-DF
IMG Activity
| ID | VOLATILITAETSARTEN | Define Volatility Type |
| Transaction Code | S_ALR_87007851 | IMG Activity: VOLATILITAETSARTEN |
| Created on | 19981222 | |
| Customizing Attributes | VOLATILITAETSARTEN | Define Volatility Type |
| Customizing Activity | VOLATILITAETSARTEN | Define Volatility Type |
Document
| Document Class | SIMG | Hypertext: Object Class - Class to which a document belongs. |
| Document Name | VOLATILITAETSARTEN |
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
- Enter a technical name and a description for the volatility type.
- Assign a volatility price type to the volatility type.
- 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.
- 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).
- 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 | VOLATILITAETSARTEN | 0 | HLA0009209 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_ATVO1 | V - View | SM30 | 0000000000 |
History
| Last changed by/on | SAP | 20011115 |
| SAP Release Created in |
