SAP ABAP Function Module RM_MM_CONVEXITY_ADJUSTMENT (Berechnung des Convexity Adjustment fuer Forwardzinsen auf Const.Mat.Swaps)
Hierarchy
☛
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_MM_CONVEXITY_ADJUSTMENT | Berechnung des Convexity Adjustment fuer Forwardzinsen auf Const.Mat.Swaps |
| Function Group | RMMM | Risk Management: Meta Method Modules |
| Program Name | SAPLRMMM | Meta Method Modules |
| INCLUDE Name | LRMMMU20 |
Parameters
| Type | Parameter Name | Typing | Associated Type | Default value | Optional | Pass Value | Short text |
|---|---|---|---|---|---|---|---|
 Exporting |
ADJ_RATE | TYPE | JBD11-IGKM | ||||
| Exporting |
FOUND_VOLA | TYPE | ATZVO-VOLA | ||||
 Importing |
AKT_DATUM | TYPE | SYST-DATUM | SY-DATUM | Current Date | ||
| Importing |
BEWERTUNGSDATUM | TYPE | SYST-DATUM | SY-DATUM | Valuation Date | ||
| Importing |
FIXINGDATUM | TYPE | SYST-DATUM | Date on Which Forward Rate is Fixed | |||
| Importing |
SZSREF | TYPE | JBRBEWEG-SZSREF | Referenct Interest Rate on Which Forward Rate is Based | |||
| Importing |
FORWARD_RATE | TYPE | JBD11-IGKM | Forward Rate for Adjustment as Percentage | |||
| Importing |
LAUFZ_TAGE | TYPE | VTBBEWE-ATAGE | Term of Referenct Interest Rate | |||
| Importing |
KALK_VOLA | TYPE | ATZVO-VOLA | Possibly Supply Vola Externally | |||
| Importing |
SZENAME | TYPE | VTVSZZINS-SZENARI | ' ' | Scenario Name | ||
| Importing |
SHIFT_REGEL | TYPE | JBRREG | Rules According to Which Market Data | |||
| Importing |
I_MSEG | TYPE | JBRMSEG | ||||
| Importing |
SZVERLAUF | TYPE | VTVSZVERL-SZVERLAUF | ||||
 Tables |
YCTYPE | TYPE | VTV_SOPYC | ||||
 Exception |
MARKET_DATA_VOLA | TYPE | Vola Could Not Be Obtained | ||||
| Exception |
MARKET_DATA_RATES | TYPE | Discounting Curve Could Not Be Obtained | ||||
| Exception |
REF_MAT_TOO_SMALL | TYPE | Term of Reference Interest Rate too Short | ||||
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 | 20091125 |
| SAP Release Created in |
