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_CLUSTER |
| Short Description | Volatility Cluster |
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 | VolaClust |
| Medium | 15 | Vola. Cluster |
| Long | 20 | Volatility Cluster |
| Heading | 20 | Volatility Cluster |
Documentation
Definition
The result of the grouping together of several volatility types.
Use
You use volatility clusters to group together several volatility types into a single volatility type. The volatility cluster can be used in the same way as a volatility type. If the entries in the cluster fields and in their respective volatility types (for example, maximum age or volatility calculation method) do not correspond, the system interprets only the entries in the cluster.
Dependencies
You can only create volatility clusters from volatility types of the volatility category Implied.
Example
Volatility type "C" contains the implied volatility of call options. Volatility type "P" contains the implied volatility of put options. If you group together these two volatility types into a volatility cluster called "VC", the system will look for the most suitable volatility in both the volatility types in volatility cluster "VC".
History
| Last changed by/on | SAP | 20110908 |
| SAP Release Created in | 20 |
