SAP ABAP Function Module RM_VAKO_CORRELATION_COMPUTE (Calculation of Aggregated VaR From Elementary VaR via Correlations)
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_VAKO_CORRELATION_COMPUTE | Calculation of Aggregated VaR From Elementary VaR via Correlations |
| Function Group | RMTVVK | Variance/Covariance control |
| Program Name | SAPLRMTVVK | Volatility and Correlation Calculator |
| INCLUDE Name | LRMTVVKU04 |
Parameters
| Type | Parameter Name | Typing | Associated Type | Default value | Optional | Pass Value | Short text |
|---|---|---|---|---|---|---|---|
 Exporting |
VAR | TYPE | JBRZWEO-BWPOS | ||||
 Importing |
KDATUM | TYPE | ATXKO-DATAB | ||||
| Importing |
KORART | TYPE | ATKO1-KORART | ||||
| Importing |
RHID | TYPE | JBRRH-RHID | ||||
| Importing |
KNOTEN | TYPE | JBRRHBLATT-RKNOTEN | ||||
| Importing |
UNWIND | TYPE | JBRIHSDEF-UNWIND | ||||
 Tables |
I_ELZWEO | TYPE | JBRZWEO | ||||
 Exception |
NO_ELEMENTARY_VAR | TYPE | |||||
| Exception |
REPRESENTATION_ERROR | TYPE | |||||
| Exception |
VECTOR_MATRIX_CONFLICT | TYPE | |||||
| Exception |
NOT_POS_DEFINIT | 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 | 20091125 |
| SAP Release Created in |
