SAP ABAP Function Module RM_GET_COVARIANCE_MATRIX (Calculates the Covariance Matrix from Correlation Coeff.& Scaled Variances)
Hierarchy
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
Function Module RM_GET_COVARIANCE_MATRIX Calculates the Covariance Matrix from Correlation Coeff.& Scaled Variances  
Function Group RMRV   Risk Management: Factor Calc. Var/Covar  
Program Name SAPLRMRV   Factor Calculation in VaR (Gamma - Variance/Covariance) 
INCLUDE Name LRMRVU02    
Parameters
Type Parameter Name Typing Associated Type Default value Optional Pass Value Short text
Exporting MATRIX TYPE VTVVKMATRIX_TAB Table for Matrix
Importing VAR_DEFAULTS TYPE JBRIHSDEF
Importing IT_BLATT TYPE TVRM_BLTTAB
Importing FULL_MATRIX TYPE C
Exception RF_LEAF_NOT_FOUND TYPE
               
Processing Type
Normal Function Module  
Remote-Enabled Module BaseXML supported
Update Module Start immediately
Immediate Start, No Restart
Start Delayed
Coll.run
JAVA Module Callable from ABAP  
Remote-Enabled JAVA Module  
Module Callable from JAVA  
History
Last changed by/on SAP  20011004 
SAP Release Created in