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 | ![]() |
Norm Scaled Shift (Standard Variance) For Risk Factors | |
02 | ![]() |
Normalskalierter Shift für Zinsreferenz | |
03 | ![]() |
Norm Scaling for Exchange Rates | |
04 | ![]() |
Calculation of Aggregated VaR From Elementary VaR via Correlations | |
05 | ![]() |
Norm Scaled Shift for Index Rates | |
06 | ![]() |
Norm Scaled Shift for Security Prices | |
Transaction Code
History
Last changed by/on | SAP | 20011004 |
SAP Release Created in |