SAP ABAP Data Element TV_MOD_DURATION (Fisher-Weil Duration)
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_MOD_DURATION
Short Description Fisher-Weil Duration  
Data Type
Category of Dictionary Type D   Domain
Type of Object Referenced     No Information
Domain / Name of Reference Type DEC9_3SIGN    
Data Type DEC   Counter or amount field with comma and sign 
Length 12    
Decimal Places 3    
Output Length 16    
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 F-W Dur. 
Medium 20 Fisher-Weil Duration 
Long 40 Fisher-Weil Duration 
Heading 40 Fisher-Weil Duration 
Documentation

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  20060711 
SAP Release Created in