SAP ABAP Data Element JBR_NUMBER_OF_STEPS (Default Number of Steps 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_NUMBER_OF_STEPS
Short Description Default Number of Steps 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 INT4   4-byte integer, integer number with sign 
Length 10    
Decimal Places 0    
Output Length 10    
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 No. Steps 
Medium 18 Default No. Steps 
Long 38 Default No.of Steps for Discretization 
Heading 48 Default Number of Steps for Discretization 
Documentation

Definition

Use

Used only when American options and Bermuda options are valued with the Hull-White model. The default number of steps specifies the number of ranges that are to be generated when the system creates the trinomial tree. For American options, this is the number of ranges into which the period between the horizon date and the time point at which the option is exercised is to be divided. For Bermuda options, it is the number of ranges into which the period between the horizon date and the end of the notification period is to be divided.

Notes:

  • If you do not specify a default number of steps, the system takes 60 as the default number.
  • In certain cases, the system divides the period of an option into more ranges than you specify here. This occurs when one or more ranges for the original value are larger than the maximum step size that you defined.

Dependencies

With the Default Number of Steps and Maximum Time Step fields, you define how accurately American options and Bermuda options are valued in the Hull-White model. Note that the values you enter in these parameters influence the performance of the system. The run time of NPV valuation increases in proportion with the square of the number of steps.

History
Last changed by/on SAP  20030326 
SAP Release Created in 200