Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer⤷
CFM_AFWKFRA (Package) CFM Risk Analyzer Key Figure Management
Basic Data
| Data Element | AFWKFRA_SIMTYP |
| Short Description | Simulation Category for P/L Distributions |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | JBRBVARSIMTYP | |
| Data Type | NUMC | Character string with only digits |
| 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 | Sim. cat. |
| Medium | 15 | Simulation cat. |
| Long | 35 | Simulation cat. for P/L distribut. |
| Heading | 7 | SimCat |
Documentation
Definition
The P&L simulation category determines the technique used to generate the profit and loss distribution.
The following simulation categories are supported:
o 00 Historical simulation
o 01 Structurized Monte Carlo with Box Muller algorithm for generating normally-distributed random numbers
o 02 Structurized Monte Carlo with Baum algorithm for generating normally-distributed random numbers
o 03 Structurized Monte Carlo with SG algorithm for generating normally-distributed random numbers
o 50 Structurized Monte Carlo with user-defined algorithm for generating normally-distributed random numbers
o 51 Structurized Monte Carlo completely user-defined
o 52 Monte Carlo Bootstrapping user-defined
o 53 Structurized Bootstrapping user-defined
Categories 00 - 03 build on SAP functions for determining the portfolio value distribution. Categories 50 - 53 can be combined with user-defined functions that can come into play in certain phases of the distribution calculation. With category 50 this is the phase where the normally-distributed random variables are determined. These can be used to execute Monte Carlo simulations.
History
| Last changed by/on | SAP | 20011002 |
| SAP Release Created in |
