Hierarchy
⤷ CA-FS-MKD (Application Component) Basic Market Data
⤷ /BA1/F4_BASIS (Package) Basic Market Data
Basic Data
Data Element | /BA1/F4_DTE_FWD_YCTYPE |
Short Description | Forward Yield Curve Type |
Data Type
Category of Dictionary Type | D | Domain |
Type of Object Referenced | No Information | |
Domain / Name of Reference Type | /BA1/F4_RATE_TYPE | |
Data Type | CHAR | Character String |
Length | 4 | |
Decimal Places | 0 | |
Output Length | 4 | |
Value Table |
Further Characteristics
Search Help: Name | ||
Search Help: Parameters | ||
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 | FwdYC |
Medium | 20 | Forward YC Type |
Long | 20 | Forward YC Type |
Heading | 20 | Forward YC Type |
Documentation
Definition
A yield curve type that is used to calculate the forward rates for the selected reference interest rate.
Use
The currency of the reference interest rate used in conjunction with the forward yield curve type make up the key used to select the yield curve for calculating forward rates.
Dependencies
You can specify the forward yield curve type both for the market data set and for the reference interest rate.
The system determines the yield curve required for calculating forward rates as follows
- Step 1: Read the yield curve type defined for the reference interest rate in the market data set
- Step 2: If the system does not find a suitable yield curve type in step 1 above, it reads the forward yield curve type from the entry with the blank reference interest rate in the market data set.
- Step 3: If the system does not find any forward yield curve type, or if a market data set has not been specified for the forward rate calculation, it reads the forward yield curve type defined for the reference interest rate.
The price calculator is the only application that calls the forward rate calculation and specifies the market data set as a parameter for this. Consequently, steps 1 and 2 apply only in cases involving the price calculator. In all other cases (displaying SDL cash flows, for example) only step 3 applies.
Example
History
Last changed by/on | SAP | 20110908 |
SAP Release Created in | 20 |