SAP ABAP Data Element /BA1/F4_DTE_ZERO_CC (Continuous Compounding Zero Rate in Fixed Point Format)

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_ZERO_CC
Short Description	Continuous Compounding Zero Rate in Fixed Point Format

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

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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	ZeroCC
Medium	15	CC Zero Rate
Long	35	Continuous Compounding Zero Rate
Heading	18	ZeroCC

Documentation

Definition

The interest rate assumed as being the continuous compounding rate. The relation between the continuous compounding zero rate and the discount factor is as follows:

Discount factor = exp( - continuous compounding zero rates * actual term in days / 365 )

If you choose the option Linear Interpolation of Continuously Compounded Zero Rates, the system interpolates linearly on the basis of zero interest rates in this format. At the same time, you can also use interest rates in this format (once they have been divided by 100) as direct input parameters for calculating option prices (with the Black Scholes formula, for example). You define calculation method settings in the IMG activity Edit Reference Interest Rates and Yield Curves.

History

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