Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-TM (Application Component) Transaction Manager⤷
FTHM_HEDGING_RELATIONSHIP (Package) Hedge Management - Package hedging relationship
Basic Data
| Data Element | THA_THRESHOLD |
| Short Description | Threshold for Effectiveness Calculation in Percent |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | PRZ23 | |
| Data Type | DEC | Counter or amount field with comma and sign |
| Length | 5 | |
| Decimal Places | 3 | |
| Output Length | 6 | |
| 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 | Threshold |
| Medium | 15 | Threshold (%) |
| Long | 20 | Threshold in % |
| Heading | 10 | Threshold |
Documentation
Definition
The offset method tests the effectiveness of a hedging relationship by comparing the changes in value of the underlying transactions and the hedging transactions of a hedging relationship. The main key figure is the ratio of the two values, namely the hedge ratio. The offset method in its simplest form has the disadvantage that the result can fluctuate greatly for minor changes in value. This means that effective hedging relationships can be classified wrongly as being ineffective. Therefore, an enhanced offset method is available which you can use to restrict the influence of very minor changes in value on the effectiveness test.
If you do not define a value for the noise threshold value, then the system uses the standard method to calculate the hedge ratio (HR):
HR = Delta(UT) / Delta(HT)
where UT = Underlying Transaction and HT = Hedge Transaction.
Unlike the standard method, you enter a threshold value (TV) for the enhanced method. With this parameter you determine the amount at which fluctuations in value are not considered to be relevant for the valuation of hedging relationships.
HR = (Delta(UT) +/- TV) / (Delta(HT) +/- TV)
The threshold value (TV) is determined from the threshold value in percent, that is to be specified here, and the nominal amount of the underlying transaction. The threshold value (TV) is added and subtracted so that the plus and minus signs do not change in the numerators or denominators.
Use
Dependencies
Regardless of the threshold value, you can influence the specificity for the effectiveness measurement with the transition speed parameter.
Example
History
| Last changed by/on | SAP | 20050615 |
| SAP Release Created in | 600 |
