SAP ABAP Data Element JBRKNZDELT (Treatment of Options (Gap Evaluation))

Hierarchy

☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ IS-B-SA-ALM (Application Component) Asset/Liability Management
     ⤷ JBRA (Package) Risk Management: Asset/Liability Management

Basic Data

Data Element	JBRKNZDELT
Short Description	Treatment of Options (Gap Evaluation)

Data Type

Category of Dictionary Type	D	Domain
Type of Object Referenced		No Information
Domain / Name of Reference Type	JBROPDELTA
Data Type	CHAR	Character String
Length	1
Decimal Places	0
Output Length	1
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	Delta Ind.
Medium	20	Delta Indicator
Long	40	Delta Indicator
Heading	9	Delta

Documentation

Definition

Shows the status that an option volume had when it entered gap analysis/ALM simulation. The option volume can be treated in the following ways:

• The underlying of the option is ignored (delta = 0)
• The underlying of the option is taken into account fully (delta = 1 or -1)
The underlying of the option is always take into account fully in the position evaluation, maturity evaluation, cash flow evaluation, (currency) liquidity evaluation, and net interest income evaluation, regardless of whether the options is in-the-money, at-the-money, or out-of-the-money.
• Underlying of the option is delta-weighted (liquidity evaluation: Delta = 1 or 1)
The underlying of the option is delta-weighted and taken into account in the position evaluation, maturity evaluation, cash flow evaluation, and net interest income evaluation.
In the (currency) liquidity evaluation, how the underlying of the option is treated depends upon whether the option is in-the-money or not. If the option is in-the-money, then the underlying is taken intoaccount fully; if it is at-the-money or out-of-the-money, then it is ignored.
• Underlying of the option is delta-weighted (liquidity evaluation delta-weighted)
The underlying of the option is delta-weighted and taken into account in the position evaluation, maturity evaluation, cash flow evaluation, net interest income evaluation and in the (currency) liquidity evaluation.
• Options that are in-the-money: The underlying is taken into account fully; for options that are at-the-money or out-of-the money the underlying is ignored.
How the underlying of the option is treated depends upon whether the option is in-the-money or not. If the option is in-the-money, then the underlying is taken into account fully in all evaluations; if itis at-the-money or out-of-the-money, then it is ignored.

If you do not set the Delta Indicator, then the option volume is ignored. This is the default setting.

History

Last changed by/on	SAP	20011002
SAP Release Created in