SAP ABAP Data Element TV_MONEYNESSDEF (Moneyness Definition)
Hierarchy
☛ SAP_APPL (Software Component) Logistics and Accounting
   ⤷ TR (Application Component) Treasury
     ⤷ FTB_CORE (Package) Former FTB Objects
Basic Data
Data Element TV_MONEYNESSDEF
Short Description Moneyness Definition  
Data Type
Category of Dictionary Type D   Domain
Type of Object Referenced     No Information
Domain / Name of Reference Type TV_MONEYNESSDEF    
Data Type CHAR   Character String 
Length 1    
Decimal Places 0    
Output Length 1    
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 MnynssDef 
Medium 20 Moneyness Definition 
Long 24 Moneyness Definition 
Heading 32 Moneyness Definition 
Documentation

Definition

The moneyness can be calculated in different ways. The following methods are available:

Default    (M:=X at H/W&AvgCapFloor Vola, M:=(X-S)/S at Others)

M:=(X-S)/S    (Moneyness as Rel. Displacement)

M:=X-S    (Moneyness as Displacement)

M:=X    (Moneyness as Strike)

M:=log(S/X)    (Sticky Moneyness, Logarithmic)

M:=S/X    (Sticky Moneyness, Direct)

M:=X/S    (Sticky Moneyness, Reciprocal)

Where

  • X = strike value or strike rate
  • S = underlying value or rate, either spot S(t) or forward S(t,T), according to the context.

When the moneyness cannot be calculated because of unusual input, the system returns a zero moneyness value.

Use

  • You assign the moneyness definiton in the customizing of the volatility type (Treasury and Risk Management -> Basis Functions -> Market Data Management -> Master Data -> Statistical Data -> Define Volatility Type).

    When you do not assign a moneyness definition, the system calulates the moneyness as M:=(X-S)/S except for Hull-White Volatilities and average cap/floor volatilities where the moneyness is M:=X. (=Default)

  • For Hull-White volatilities, the system always applies M:=X, regardless of the kind of moneyness definiton assigned to the volatility type.

Dependencies

Example

History
Last changed by/on SAP  20130529 
SAP Release Created in