SAP ABAP Program SAPLRMTVVK (Volatility and Correlation Calculator)
Basic Data
| Program | SAPLRMTVVK | Volatility and Correlation Calculator |
| 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_VAKO_SHIFT_FOR_RF |
Norm Scaled Shift (Standard Variance) For Risk Factors | |
| 02 | RM_VAKO_SHIFT_FOR_YC |
Normalskalierter Shift für Zinsreferenz | |
| 03 | RM_VAKO_SHIFT_FOR_CR |
Norm Scaling for Exchange Rates | |
| 04 | RM_VAKO_CORRELATION_COMPUTE |
Calculation of Aggregated VaR From Elementary VaR via Correlations | |
| 05 | RM_VAKO_SHIFT_FOR_IX |
Norm Scaled Shift for Index Rates | |
| 06 | RM_VAKO_SHIFT_FOR_WP |
Norm Scaled Shift for Security Prices | |
Transaction Code
History
| Last changed by/on | SAP | 20011004 |
| SAP Release Created in |
