SAP ABAP Function Module RMMD_GET_HW_VOLATILITY (Read Start Values for Calibration of Hull White Model)

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_HW_VOLATILITY	Read Start Values for Calibration of Hull White Model
Function Group	RMMD	Risk Management: Market Data
Program Name	SAPLRMMD	Risk Management: Market Data Buffer
INCLUDE Name	LRMMDU40

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Exporting	E_VOLATILITY	TYPE	FTBB_VOLATILITY		☐	☐	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_HW_VOLATILITYTYPE	TYPE	TB_VOLART		☐	☐	Volatility Type
Importing	I_MATURITY	TYPE	TV_MATOP		☐	☐	Volatilities - Option Term
Importing	I_RUNTIME	TYPE	TV_MATUL		☐	☐	Volatilities - Total Runtime
Importing	I_STRIKE_RATE	TYPE	TV_MNYNSS		☐	☐	Volatilities - Moneyness Factor
Exception	NO_VOLANAME	TYPE			☐	☐	No Vola Name is Assigned to the Yield Curve/Currency (ATV065)
Exception	NO_VOLAPROFIL	TYPE			☐	☐	There is no Vola Profile for the Parameter
Exception	NO_VOLAVALUE	TYPE			☐	☐	No Volatilities 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