SAP ABAP Data Element /BA1/F4_DTE_MONEYNESS (Moneyness)

Hierarchy

☛ SAP_BS_FND (Software Component) SAP Business Suite Foundation
   ⤷ CA-FS-MKD (Application Component) Basic Market Data
     ⤷ /BA1/F4_VOLA (Package) Market Data: Volatilities

Basic Data

Data Element	/BA1/F4_DTE_MONEYNESS
Short Description	Moneyness

Data Type

Category of Dictionary Type	D	Domain
Type of Object Referenced		No Information
Domain / Name of Reference Type	/BA1/F4_DECV5_10
Data Type	DEC	Counter or amount field with comma and sign
Length	15
Decimal Places	10
Output Length	18
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	Moneyness
Medium	15	Moneyness
Long	20	Moneyness
Heading	18	Moneyness

Documentation

Definition

Moneyness shows the relation between the strike of an option and the spot of the underlying. In the system, moneyness is defined as follows:

Moneyness = (Strike - Spot) / Spot

The system uses this equation regardless of whether the option is a call option or put option. The moneyness of at-the-money options (strike = spot) is 0. Depending on whether the option is a call or a put, money less than 0 shows the extent to which the option is in the money or out of the money.

Use

You can enter implicit volatilities dependent on moneyness to display the volatility smile.

Dependencies

Example

History

Last changed by/on	SAP	20110908
SAP Release Created in	20