SAP ABAP Function Module RM_MC_GENERATE_SMC_RULES (Creates a simulated time series using structurized Monte Carlo)

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_MC_GENERATE_SMC_RULES	Creates a simulated time series using structurized Monte Carlo
Function Group	RMMC	Risk Management: Monte Carlo Simulation
Program Name	SAPLRMMC	Risk Management: Monte Carlo Simulation
INCLUDE Name	LRMMCU07

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Importing	I_VAR_DEFAULTS	TYPE	JBRIHSVAR		☐	☑	VaR General Parameters
Importing	I_COVARIANZMATRIX	TYPE	VTVVKMATRIX_TAB		☐	☑	Table for Matrix
Tables	I_LEAFS	TYPE	JBRRHBLATT		☐	☑	Risk Factor Description
Tables	E_TIMESERIE	TYPE	VTVUEMC_KORR_TIMESERIE		☐	☑	Sample
Tables	I_HIST_TIMESERIE	TYPE	VTVUEMC_HIST_TIMESERIE		☐	☑	Historic Time Sequence of Market Price Changes
Exception	NEGATIV_SUBSUM	TYPE			☐	☑	Negative Walue Under the Root 0> Matrix Not Positive Definite
Exception	ZERO_VALUE	TYPE			☐	☑	Negative Walue Under the Root 0> Matrix Not Positive Definite
Exception	NOT_POS_DEFINIT	TYPE			☐	☑	Negative Walue Under the Root 0> Matrix Not Positive Definite

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