SAP ABAP Data Element AFWKFRA_DELTAONLY (Only Apply Covariance Approach to Delta Positions)

Hierarchy

☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
     ⤷ CFM_RDBRA (Package) CFM Results Database: Risk Analyzer

Basic Data

Data Element	AFWKFRA_DELTAONLY
Short Description	Only Apply Covariance Approach to Delta Positions

Data Type

Category of Dictionary Type		Direct Type Entry
Type of Object Referenced		No Information
Domain / Name of Reference Type
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	Delta only
Medium	15	Delta only
Long	31	Only calculate for delta pos.
Heading	5	Delta

Documentation

Definition

Defines which items are used to calculate the value at risk (variance/covariance.

Delta and gamma positions can be used. The prerequisite is that the relevant position has to exist, which is defined by the key figure category Risk Factor Position (RAD0).

If there are both delta and delta/gamma positions, then you can use this indictor to define that only delta positions are to be used.

If you do not set this indicator, all the positions that exist are used.

Use

Dependencies

Example

History

Last changed by/on	SAP	20011002
SAP Release Created in	462_10