SAP ABAP Data Element /BA1/F4_DTE_XTRP_METH (Extrapolation Method for Yield Curves)
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_XTRP_METH
Short Description Extrapolation Method for Yield Curves  
Data Type
Category of Dictionary Type D   Domain
Type of Object Referenced     No Information
Domain / Name of Reference Type /BA1/F4_XTRP_METH    
Data Type CHAR   Character String 
Length 2    
Decimal Places 0    
Output Length 2    
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 ExtrMeth 
Medium 19 Extrapolation Meth. 
Long 21 Extrapolation Method 
Heading 8 ExtrMeth 
Documentation

Definition

This indicator determines how a yield curve is extrapolated for terms (maturities) that are longer than the longest term actually available in a yield curve. The longest available term is the term of the reference interest rate with the longest term in the yield curve and for which an interest rate was found.

You can choose from the following extrapolation settings:

  • Keep continuous compounding zero rate constant

    The system assumes that the continuous compounding zero rate for terms in the extrapolated part of the curve are exactly the same as the last continuous compounding zero rate that actually exists in the yield curve.

  • Keep par interest rate constant

    The system assumes that the last par interest rate available in the yield curve, converted into a continuous compounding rate, is exactly the same as the continuous compounding forward rate in the extrapolated part of the curve. This means that the par interest rates are practically constant for terms in the extrapolated part of the curve. However, it does not mean that the par interest rates in the extrapolated part of the curve are exactly the same as the par interest rate of the last grid point.

  • Keep continuous compounding forward rate constant

    The system assumes that the continuous compounding forward rate of the last grid point in the yield curve is exactly the same as the continuous compounding forward rate in the extrapolated part of the curve.

History
Last changed by/on SAP  20110908 
SAP Release Created in 10