SAP ABAP Data Element FTBB_FLG_CORR_ADJUST (Adjust Correlation Matrix)
Hierarchy
☛
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷
FTBB (Package) Risk Management Basis
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer⤷
FTBB (Package) Risk Management Basis
Basic Data
| Data Element | FTBB_FLG_CORR_ADJUST |
| Short Description | Adjust Correlation Matrix |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | FLAG | |
| Data Type | CHAR | Character String |
| Length | 1 | |
| Decimal Places | 0 | |
| Output Length | 1 | |
| 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 | Adj.Matrix |
| Medium | 15 | Adjust Matrix |
| Long | 20 | Adjust Matrix |
| Heading | 0 |
Documentation
Definition
Adjust correlation matrix.
Use
If this indicator is set, and the correlation matrix for risk factors is not positive definite, then this matrix is adjusted by the system so that it is positive definite. This is done using the Rebonato method.
Dependencies
Example
History
| Last changed by/on | SAP | 20130529 |
| SAP Release Created in | 110 |
