Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer⤷
FTB (Package) Applic. development R/3 Treasury risk simulation analysis
Basic Data
| Data Element | TV_CLEAN_PRICE_PC |
| Short Description | Clean Price in Position Currency |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | T_PRESVAL | |
| Data Type | CURR | Currency field, stored as DEC |
| Length | 17 | |
| Decimal Places | 2 | |
| Output Length | 17 | |
| 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 | CleanPR PC |
| Medium | 15 | Clean Price PC |
| Long | 30 | Clean Price in Position Crcy |
| Heading | 30 | Clean Price in PC |
Documentation
Treasury and Risk Management Transaction Manager
Reporting for a given date / evaluation of positions for the key date
The clean price is the market value adjusted for accrued interest. By contrast, the dirty price is the effective price you pay when you purchase a bond (in other words, the clean price plus the proportionate accrued interest since the last coupon payment).
Definition
The key figure is calculated from the Market Risk module. A requirement for this is that a financial object must exist.
Diagnosis
At present, risk management key figures might not be calculated for securities in the parallel valuation areas. This applies to all data from the securities module for which the position differentiation settings for the valuation area/accounting code/product type differ from the settings for the operative valuation area (ID number/company code/securities account). This is because the net present value calculator currently requires positions to be differentiated as they are in the operative valuation area.
System Response
The net present value calculator determines the following key values which may as a result be affected:
- Net present value in position currency
- Net present value in evaluation currency
- Net present value in display currency
- Net present value (long) in evaluation currency
- Net present value (long) in incoming side currency
- Net present value (short) in evaluation currency
- Net present value (short) in outgoing side currency
- Clean price in position currency
- Clean price in evaluation currency
- Clean price in display currency
- Basis point value in position currency
- Basis point value in evaluation currency
- Basis point value in display currency
- Macaulay duration
- Fisher-Weil duration
- Convexity
- Delta, 1st derivation of the premium based on the price of the underlying
- Gamma, 2nd derivation of the premium based on the price of the underlying
- Theta, 1st derivation of the premium, time-based
- Vega, 1st derivation based on the volatility
History
| Last changed by/on | SAP | 20020320 |
| SAP Release Created in | 463_20 |
