Hierarchy
⤷ TR (Application Component) Treasury
⤷ JBST (Package) Standard objects of application development IS-B EGK
Basic Data
Data Element | JBRINTBASTYP |
Short Description | Interpolation basis |
Data Type
Category of Dictionary Type | D | Domain |
Type of Object Referenced | No Information | |
Domain / Name of Reference Type | JBRINTBASTYP | |
Data Type | CHAR | Character String |
Length | 1 | |
Decimal Places | 0 | |
Output Length | 1 | |
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 | Basis |
Medium | 20 | Interpolation basis |
Long | 23 | Interpolation basis |
Heading | 23 | Interpolation basis |
Documentation
Definition
The interpolation basis determines the basis used for interpolating a yield curve type.
The following interpolation bases are supported:
- Par rate
The system interpolates the par rates, and calculates the zero bond discount factors and zero coupons using the par rates.
This interpolation basis is only supported for the yield category "par rate".
- Zero coupon
The system interpolates the zero coupons, and calculates the zero bond discount factors and (where relevant) par rates using the zero coupons. Interpolating the zero coupons is not as complex as interpolating the par rates, and in many cases, this improves performance (especially when calculating forwards).
The choice of interpolation basis for a particular yield curve depends on the interpolation model. As for the various interpolation procedures, the different interpolation bases produce slightly different interpolation results.
The best performance is achieved by using "linear interpolation" as the interpolation procedure and "zero coupon" as the interpolation basis.
Note:
The interpolation of missing annual grid points in yield curves with the yield category "par rate" is independent of the interpolation basis "par rate".
History
Last changed by/on | SAP | 20011002 |
SAP Release Created in | 46C |