SAP ABAP Data Element TV_XINTOPT (Value Swaptions as Interest Rate Options)
Hierarchy
☛
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷
FTBB (Package) Risk Management Basis
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer⤷
FTBB (Package) Risk Management Basis
Basic Data
| Data Element | TV_XINTOPT |
| Short Description | Value Swaptions as Interest Rate Options |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | XFELD | |
| 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 | IR Option |
| Medium | 15 | Int.Rate Option |
| Long | 20 | Interest Rate Option |
| Heading | 10 | IR Option |
Documentation
Definition
The default setting for valuing options on swaps is to treat the fixed side of the underlying swap as a bond, and calculate the NPV of the bond option.
This indicator controls whether the swaption should instead be valued as a total of interest rate options, one for each interest rate swap.
In Asset/Liability Management, the fixed side of a swaption is always treated as a bond option.
History
| Last changed by/on | SAP | 20030716 |
| SAP Release Created in |
