SAP ABAP Function Module RMMD_GET_BS_VOLATILITIES (Read Black Scholes Volatilities for Hull White Calibration)

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_GET_BS_VOLATILITIES	Read Black Scholes Volatilities for Hull White Calibration
Function Group	RMMD	Risk Management: Market Data
Program Name	SAPLRMMD	Risk Management: Market Data Buffer
INCLUDE Name	LRMMDU39

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Exporting	ET_VOLATILITIES	TYPE	FTBB_VOLATILITIES		☐	☐	Internal Table for Volatilities for Central Volatility DB
Importing	I_DATE	TYPE	DATS		☐	☐	Field of Type DATS
Importing	I_CURRENCY	TYPE	JBWWAER		☐	☐	Currency
Importing	I_IR_CURVETYPE	TYPE	JBSZKART		☐	☐	Yield Curve Type
Importing	I_BS_VOLATILITYTYPE	TYPE	TB_VOLART		☐	☐	Volatility Type
Importing	I_RUNTIME_FROM	TYPE	TV_MATUL		☐	☐	Volatilities - Underlying Transaction Term
Importing	I_RUNTIME_TO	TYPE	TV_MATUL		☐	☐	Volatilities - Underlying Transaction Term
Importing	I_MONEYNESS_FROM	TYPE	TV_MNYNSS		☐	☐	Volatilities - Moneyness Factor
Importing	I_MONEYNESS_TO	TYPE	TV_MNYNSS		☐	☐	Volatilities - Moneyness Factor
Exception	NO_INTEREST_RATE_REFERENCES	TYPE			☐	☐	No Interest Reference Rates Found for Yield Curve Type
Exception	NO_VOLAVALUES_FOUND	TYPE			☐	☐	No Vola Values Found
Exception	ERROR_AT_DB_SELECT	TYPE			☐	☐	Error Accessing Database

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