Hierarchy
⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷ FTBB (Package) Risk Management Basis
Basic Data
Data Element | FTBB_FLG_LIFE |
Short Description | Term |
Data Type
Category of Dictionary Type | D | Domain |
Type of Object Referenced | No Information | |
Domain / Name of Reference Type | INT2 | |
Data Type | INT2 | 2-byte integer, only for length field before LCHR or LRAW |
Length | 5 | |
Decimal Places | 0 | |
Output Length | 5 | |
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 | Term |
Medium | 15 | Term |
Long | 20 | Term |
Heading | 8 | Term |
Documentation
The system uses value changes from the market data and/or risk factor history to calculate volatilities. The 'term' parameter specifies, how, and between which dates in the history, the value differences of the price parameters are determined for the calculation of volatilities and correlations. This information is given in working days.
The standard setting is for 1 day. This means that the system always compares the data with that from the previous day. If you set this value to 10 working days, the system compares the present data with that from two weeks ago.
This value is used to specify the term with which the volatility is saved in the database. The working days are converted into calendar days, and entered into the Residual term of the Option field.
History
Last changed by/on | SAP | 20130529 |
SAP Release Created in | 110 |