SAP ABAP Function Module RM_HULL_WHITE_ANA_FOR_TREE (Price Calculator Hull White Analyst)

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_HULL_WHITE_ANA_FOR_TREE	Price Calculator Hull White Analyst
Function Group	RMOP	Risk Management: Option Control
Program Name	SAPLRMOP	Risk Management: Option Control
INCLUDE Name	LRMOPU18

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Changing	C_OP_DESCRIPTIONS	TYPE	VTVOP_DESCRIPTION		☐	☐	Description of Opportunities for Exercising Bermuda Options
Exporting	E_PRICE	TYPE	F		☐	☐
Exporting	I_BOND_PRICE	TYPE	F		☐	☐
Exporting	PHI_EXERCISE	TYPE	F		☐	☐
Importing	I_HORIZON	TYPE	TIME_SPAN		☐	☐	Time Interval in Fractions of a Year
Importing	IT_FIX_CF	TYPE	VTVOP_FIX_CF_TAB		☐	☐	Table of Fixed Cash Flows for Option Valuation
Importing	IT_DISCOUNTFACTORS	TYPE	VTVOP_DISCOUNTFACTOR_TAB		☐	☐	Table of Discount Factors for Option Valuation
Importing	I_SIGMA	TYPE	F		☐	☐
Importing	I_MEAN_REVERSION	TYPE	F		☐	☐
Importing	GIVEN_SHORT_RATE	TYPE	F		☐	☐	Short Rate of a Scenario
Importing	SKIP	TYPE	I	0	☐	☐
Exception	NO_CONVERGENCE	TYPE			☐	☑	Newton Interpolation Does Not Converge

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	20050520
SAP Release Created in