SAP ABAP Data Element JBR_MAXIMUM_STEPLENGTH (Maximum Permitted Time Step for Discretization Method)

Hierarchy

☛ 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	JBR_MAXIMUM_STEPLENGTH
Short Description	Maximum Permitted Time Step for Discretization Method

Data Type

Category of Dictionary Type		Direct Type Entry
Type of Object Referenced		No Information
Domain / Name of Reference Type
Data Type	DEC	Counter or amount field with comma and sign
Length	12
Decimal Places	6
Output Length	14
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	Max. Step
Medium	18	Maximum Time Step
Long	37	Maximum Time Step for Discretization
Heading	49	Maximum Permitted Time Step for Discretization

Documentation

Definition

Time step in years, which the system must not exceed when generating the trinomial tree.

Use

When the Hull-White model to value American interest rate options and Bermuda options, the system generates a trinomial tree. You specify the number of ranges into which the system divides a time period by means of the default number of steps. So that the system does not create ranges that are too big, you can define a maximum time step. The system then inserts ranges in such a way that the time steps in the trinomial tree do not exceed this maximum.

If you leave the Maximum Time Step field blank, or enter zero, then the system does not check the time steps.

Dependencies

History

Last changed by/on	SAP	20030411
SAP Release Created in	200