SAP ABAP Function Module RM_GET_COVARIANCE_MATRIX (Calculates the Covariance Matrix from Correlation Coeff.& Scaled Variances)
Hierarchy
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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
| 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 |
