SAP ABAP Function Module RM_HW_TREE_ANALYTICAL (Hull-White Trinomial Tree for Options with Analytical Formula in Last Step)

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_HW_TREE_ANALYTICAL	Hull-White Trinomial Tree for Options with Analytical Formula in Last Step
Function Group	RMOP	Risk Management: Option Control
Program Name	SAPLRMOP	Risk Management: Option Control
INCLUDE Name	LRMOPU17

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Changing	C_OP_DESCRIPTIONS	TYPE	VTVOP_DESCRIPTION_TAB		☐	☐	Description of Opportunities for Exercising Bermuda Options
Changing	C_FIX_CASHFLOWS	TYPE	VTVOP_FIX_CF_TAB		☐	☐	Table of Fixed Cash Flows for Option Valuation
Exporting	E_OP_PRICE	TYPE	F		☐	☐
Exporting	E_OP_RESULTS	TYPE	TVM0_RES_OPT_TAB		☐	☐
Importing	I_HORIZON	TYPE	TIME_SPAN		☐	☐	Time Interval in Fractions of a Year
Importing	I_DISCOUNTFACTORS	TYPE	VTVOP_DISCOUNTFACTOR_TAB		☐	☐	Table of Discount Factors for Option Valuation
Importing	I_SIGMA	TYPE	F		☐	☐	H/W Volatility Parameter Sigma
Importing	I_MEAN_REVERSION	TYPE	F		☐	☐	H/W Volatility Parameter Mean Reversion
Importing	I_NUMBER_OF_STEPS	TYPE	JBR_NUMBER_OF_STEPS		☐	☐	Default Number of Steps for Discretization Method
Importing	I_MAXIMUM_STEPLENGTH	TYPE	JBR_MAXIMUM_STEPLENGTH		☐	☐	Maximum Permitted Time Step for Discretization Method

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	20050411
SAP Release Created in