SAP ABAP Function Module RMMD_CALIBRATE_HW_VOLATILITY (Determines Hull White Volatility Parameters by Calibrating Transaction)

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	RMMD_CALIBRATE_HW_VOLATILITY	Determines Hull White Volatility Parameters by Calibrating Transaction
Function Group	RMMD	Risk Management: Market Data
Program Name	SAPLRMMD	Risk Management: Market Data Buffer
INCLUDE Name	LRMMDU43

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Exporting	E_SIGMA	TYPE	F		☐	☐	Sigma for Interest Structure Models
Exporting	E_REVERSION	TYPE	F		☐	☐	Reversion Rate for Yield Curve Model
Exporting	E_CHI_VALUE	TYPE	F		☐	☐	Value of Chi
Exporting	E_CHI_CHANGE	TYPE	F		☐	☐	Change to Chi at Last Iteration
Exporting	E_ITERATIONSCOUNT	TYPE	I		☐	☐	Number of Iterations Carried Out
Importing	I_EVALUATIONDATE	TYPE	DATS		☐	☐	Evaluation Date
Importing	IT_IR_STRUCTURE	TYPE	VTVOP_DISCOUNTFACTOR_TAB		☑	☐	Table of Discount Factors for Option Valuation
Importing	I_CURRENCY	TYPE	JBWWAER		☐	☐	Currency
Importing	I_IR_CURVETYPE	TYPE	JBSZKART		☐	☐	Yield Curve Type
Importing	I_SZENARIO	TYPE	VTVSZKO-SZENARI		☑	☐	Business Scenario
Importing	I_SHIFTREGEL	TYPE	JBRREG		☑	☐	Rule Structure for Simulation Analyses
Importing	I_SEQUENCE	TYPE	VTVSZVERL-SZVERLAUF		☑	☐	Scenario Progression
Importing	I_BS_VOLATILITYTYPE	TYPE	TB_VOLART		☐	☐	Volatility Type
Importing	I_VOLATILITYNAME	TYPE	ATVO0-VNAME		☐	☐	Volatility Name
Importing	IT_OP_DESCRIPTIONS	TYPE	VTVOP_DESCRIPTION_TAB		☐	☐	Description of Opportunities for Exercising Bermuda Options
Importing	I_UL_MATURITY	TYPE	DATS		☐	☐	Due Data of Underlying
Importing	I_SIGMA_START	TYPE	F	'0.01'	☑	☐	Start Value for Sigma
Importing	I_REVERSION_START	TYPE	F	'0.1'	☑	☐	Start Value for Mean Reversion
Importing	I_MAXIMUM_CHI_VALUE	TYPE	F	'1.0'	☑	☐	Termination Criterion: Amount of Merit Function
Importing	I_MAXIMUM_CHI_CHANGE	TYPE	F	'0.00000001'	☑	☐	Termination Criterion: Change to Merit Function
Importing	I_MAXIMUM_ITERATIONSCOUNT	TYPE	I	200	☑	☐	Termination Criterion: Number of Minimization Steps
Exception	NO_VALUE	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	20040819
SAP Release Created in