SAP ABAP Program SAPLRMRV (Factor Calculation in VaR (Gamma - Variance/Covariance))
Basic Data
| Program | SAPLRMRV | Factor Calculation in VaR (Gamma - Variance/Covariance) |
| 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_MOMENTS_CALC |
Moment Calculation in Variance/Covariance VaR | |
| 02 | RM_GET_COVARIANCE_MATRIX |
Calculates the Covariance Matrix from Correlation Coeff.& Scaled Variances | |
| 03 | RM_GET_VOLA_FOR_RF |
Determination of the Volatility of a Risk Factor | |
| 04 | RM_CORNISH_FISCHER |
Calculation of the Confidence Range (Z-alpha Percentile) | |
| 05 | RM_VAR_VAKO_G_CALCULATOR |
Calculation of VaR Using Cornish Fischer Using Contract Moments | |
| 06 | RM_VAR_VAKO_G_NOKORR |
Calculation of the VaR Along RH for Incorrect Nodes | R |
| 07 | PRINT_VAKO_MATRIX |
Listausgabe der Korrelationsmatrix (nur zur Testzwecken) | |
| 08 | RM_MOMENTS_CALC_FOR_PK |
Calculation of the Moments for a Portfolio Node | R |
| 09 | RM_MOMENTS_CALC_FOR_PK_PAR_GO |
Start of FM RM_MOMENTS_CALC_FOR_PK as Separate Task | |
| 10 | RM_ADJUST_DELTA_GAMMA_FOR_REL |
Adjustment of Delta/Gamma Positions for Rel./Log. Volatilities | |
| 11 | RM_GET_VALUE_FOR_RF |
Calculation of the Market Value of a Risk Factor | |
| 12 | RM_CORNISH_FISCHER_VAR |
Provides VaR | R |
Transaction Code
History
| Last changed by/on | SAP | 20011004 |
| SAP Release Created in |
