SAP ABAP Data Element /BA1/F4_DTE_CALC_METH (Calculation Procedure for Yield Curve)

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

Basic Data

Data Element	/BA1/F4_DTE_CALC_METH
Short Description	Calculation Procedure for Yield Curve

Data Type

Category of Dictionary Type	D	Domain
Type of Object Referenced		No Information
Domain / Name of Reference Type	/BA1/F4_CALC_METH
Data Type	CHAR	Character String
Length	2
Decimal Places	0
Output Length	2
Value Table

Further Characteristics

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Parameter ID
Default Component name
Change document	☐
No Input History	☐
Basic direction is set to LTR	☐
No BIDI Filtering	☐

Field Label

	Length	Field Label
Short	10	ClcProc
Medium	20	Calculation Proc.
Long	20	Calculation Proc.
Heading	10	ClcProc

Documentation

Definition

Determines how the yield curve is generated and how interest rates in the yield curve are calculated

At present, the options Linear Interpolation of Continuously Compounding Zero Rates and Linear Interpolation of Zero Rates (also for swap gaps) are available. In both cases, the system interpolates continuously compounding zero rates linearly between the grid points. The difference between the two options lies in the different handling of swap gaps during bootstrapping. A swap gap exists if reference interest rates, for example, 1, 2, 3, 4, 5, 7, and 10 year term, are assigned to a yield curve. In this case, the grid points (swap gaps) are missing for 6, 8, and 9 years.

• If you have selected Linear Interpolation of Continuously Compounding Zero Rates , the missing grid points are determined when the yield curve is generated using the linear interpolation of par interest rates of the neighboring grid points. You can recognize this from the yield curve display: grid points without a reference interest rate occur in the swap gaps in addition to the grid points with a reference interest rate.
• If you have selected Linear Interpolation Zero Rates (also for swap gaps), no additional grid points are determined when the yield curve is generated as was the case for Linear Interpolation of Continuously Compounding Zero Rates. Instead, the system interpolates the zero rate of the previously calculated grid point and the as yet unknown zero rate for the grid point to be added linearly. The net present values of interest payments for the swap gaps are thereby calculated. Since the comparison that occurs cannot be solved algebraically, the system uses Newton's iteration. Then no more additional grid points are displayed in the yield curve for the swap gaps.

History

Last changed by/on	SAP	20130604
SAP Release Created in	10