SAP ABAP Data Element JBR_VALUATION_MODEL (Valuation Model for Financial Transactions)
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 | JBR_VALUATION_MODEL |
| Short Description | Valuation Model for Financial Transactions |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | JBR_VALUATION_MODEL | |
| Data Type | CHAR | Character String |
| Length | 4 | |
| Decimal Places | 0 | |
| Output Length | 4 | |
| 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 | Val. Model |
| Medium | 16 | Valuation Model |
| Long | 20 | Valuation Model |
| Heading | 36 | Valuation Model for Financial Trans. |
Documentation
Definition
Controls the pricing of options.
Use
If the default setting is used, the system uses the Black-Scholes model and the Cox-Ross-Rubinstein model to price options. However, you can use the Hull-White model to price options on interest rate transactions. You can choose the classic tree method (Hull/White) or the more accurate and faster Hull/White accelerated method. You can value swaptions as options on bonds (default setting) or as interest rate options (using the Black-Scholes model).
Dependencies
Example
History
| Last changed by/on | SAP | 20030326 |
| SAP Release Created in | 200 |
