SAP ABAP Data Element RFTBB_MAXIMUM_CHI_CHANGE (Maximum Permitted Change in Merit Function)
Hierarchy
☛
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷ FTBB (Package) Risk Management Basis
⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷ FTBB (Package) Risk Management Basis
Basic Data
Data Element | RFTBB_MAXIMUM_CHI_CHANGE |
Short Description | Maximum Permitted Change in Merit Function |
Data Type
Category of Dictionary Type | Direct Type Entry | |
Type of Object Referenced | No Information | |
Domain / Name of Reference Type | ||
Data Type | DEC | Counter or amount field with comma and sign |
Length | 12 | |
Decimal Places | 8 | |
Output Length | 14 | |
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 | Delta Chi |
Medium | 15 | Delta Chi |
Long | 25 | Max Change in Merit Fctn |
Heading | 45 | Maximum Permitted Change in Merit Function |
Documentation
Definition
Use
The system uses the following criteria when calibrating the Hull-White interest structure model to determine when processing is terminated:
- When the maximum number of iterations is reached.
- When the maximum value for the chi merit function is reached, or when the maximum value for the chi function change from the penultimate to the final iteration step is reached.
The system, therefore, terminates processing if the number of iterations reaches the maximum number permitted. If you do not specify a maximum number of steps, the system terminates processing when the second condition above is met.
Dependencies
Example
History
Last changed by/on | SAP | 20040819 |
SAP Release Created in | 500 |