SAP ABAP Program SAPLRMMC (Risk Management: Monte Carlo Simulation)

Basic Data

Program	SAPLRMMC	Risk Management: Monte Carlo Simulation
Program Type	F	Function group

Attributes

Status
Application	S	Basis
Authorization Group
Logical database	D$S	Processing without database
Selection screen
☐ Editor lock	☑ Fixed point arithmetic
☑ Unicode checks active	☐ Start using variant

Function Group

Include	Function Module	Short Description	Mode
01	RM_MC_GENERATE_BOOTSTRAP_RULES	OBSOLETE Creates a simulated time series by bootstrapping	R
02	RM_MC_CHOLESKY	Generates the Cholesky decomposition of a matrix
03	RM_MC_CONVERT_MATRIX	Adjusts the row/column indexes of the matrix
04	RM_MC_MATRIX_MULTIPLICATION	Multiplies a matrix of category VTVVKMATRIX by a vector
05	RM_MC_ND_SERIE_TREE	Generates a normally distributed sample (variance = 1, average = 0)
06	RM_MC_ND_SERIE_SG	Generates a normally distributed sample (variance = 1, average = 0)
07	RM_MC_GENERATE_SMC_RULES	Creates a simulated time series using structurized Monte Carlo
08	RM_MC_ND_SERIE_IND_TREE	Generates indep. normally distributed sample vector (Var=1, Avg=0 Corr=0)	R
09	RM_MC_GENERATE_FIXED_VECTOR	Generates discretion for cumulated normal distribution function
10	RM_MC_ND_SERIE_IND_SG	Generates indep. normally distributed sample vector (Var=1, Avg=0 Corr=0)	R
11	RM_MC_ND_SERIE_BOX_MULLER	Generates a normally distributed sample (V=1 M=0) using Box-Muller
12	RM_MC_BOX_MULLER	Generates normally distributed random nos. using Box-Muller (V=1 M=0)
13	RM_MC_ND_SERIE_IND_BOX_MULLER	Generates indep. normally distributed sample vector (Var=1, Avg=0 Corr=0)	R
14	RM_MC_VAR_COMPUTE	Special Aggregation for Monte Carlo Simulation
15	RM_MC_GENERATE_LIKE_HISI	Creates a test time series (for comparison with historical simulation)	R
16	RM_MC_CHECK_SIZE_GUV	Checks whether the P+L results objects will become too big

Transaction Code

There is no transaction reference to this program  

History

Last changed by/on	SAP	20011004
SAP Release Created in