SAP ABAP Data Element JBRDURA (Effective Duration)

Hierarchy

☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ IS-B-RA (Application Component) Risk Analysis
     ⤷ JBR (Package) Application development IS-B Risk Mangement

Basic Data

Data Element	JBRDURA
Short Description	Effective Duration

Data Type

Category of Dictionary Type	D	Domain
Type of Object Referenced		No Information
Domain / Name of Reference Type	WERTV8
Data Type	CURR	Currency field, stored as DEC
Length	15
Decimal Places	2
Output Length	21
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	Duration
Medium	20	Effective Duration
Long	40	Effective Duration
Heading	21	Effective Duration

Documentation

Definition

Describes the actual duration of one or more finance transactions.

The actual duration is calculated by the formula

Act. duration = (ABS(PVBP) / NPV_starting scenario) * 100

with PVBP = NPV_moved - NPV_starting scenario.

This makes the actual duration a key figure for the sensitivity of one or more finance transactions regarding changes in the risk factors. This is why it is included in the sensitivity analysis.

History

Last changed by/on	SAP	20011002
SAP Release Created in