SAP ABAP Data Element /BA1/F4_DTE_VOL_CATEGORY (Volatility Category)

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_VOL_CATEGORY
Short Description	Volatility Category

Data Type

Category of Dictionary Type	D	Domain
Type of Object Referenced		No Information
Domain / Name of Reference Type	/BA1/F4_VOL_CATEGORY
Data Type	CHAR	Character String
Length	1
Decimal Places	0
Output Length	1
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	Vola. Cat.
Medium	15	Volatility Cat.
Long	21	Volatility Category
Heading	21	Volatility Category

Documentation

Definition

Specifies whether the volatility defined for the volatility type in question is implied volatility, or historical volatility.

Use

If you want to store only one volatility for a date, use historical volatility. Use implied volatility types if you want to store the implied volatility of options for a specific date. As a result, you can enter more than one volatility for one date to depict the volatility structure (volatility change based on the residual maturity) and the volatility smile (volatility change based on the strike or the Moneyness).

Dependencies

Example

History

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