SAP ABAP Table RFTBB_HWCALIBRATION (Parameters for the Calibration of an Option Price 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

Table Category	INTTAB	Structure
Structure	RFTBB_HWCALIBRATION	Table Relationship Diagram
Short Description	Parameters for the Calibration of an Option Price Model

Delivery and Maintenance

Pool/cluster
Delivery Class
Data Browser/Table View Maintenance	Display/Maintenance Allowed with Restrictions

Components

	Field	Key	Data Element	Domain	Data Type	Length	Decimal Places	Short Description	Check table
1	EVALUATION_DATE	☐	TV_AKTUDAT	DATUM	DATS	8	0	Evaluation Date
2	CURRENCY	☐	AFW_EVAL_CURRENCY	WAERS	CUKY	5	0	Evaluation Currency	TCURC
3	SZKART	☐	JBSZKART	JBSZKART	NUMC	4	0	Yield Curve Type	JBD14
4	IR_VOLATILITY_TYPE	☐	RFTBB_IR_VOLATILITY_TYPE	T_VOLART	CHAR	3	0	Volatility Type for Interest Rates	ATVO1
5	HW_VOLATILITY_TYPE	☐	RFTBB_HW_VOLATILITY_TYPE	T_VOLART	CHAR	3	0	Volatility Type for Yield Curve	ATVO1
6	SZKART_TEXT	☐	JBXZKART	TEXT30	CHAR	30	0	Yield curve type text
7	IR_VOLATILITY_TYPE_TEXT	☐	TB_VOATEXT	T_XTEXT30	CHAR	30	0	Volatility type description
8	HW_VOLATILITY_TYPE_TEXT	☐	TB_VOATEXT	T_XTEXT30	CHAR	30	0	Volatility type description
9	MATURITY_FROM	☐	TV_MATOP	TV_LFZ	INT2	5	0	Volatilities - Option Term
10	MATURITY_TO	☐	TV_MATOP	TV_LFZ	INT2	5	0	Volatilities - Option Term
11	RUNTIME_FROM	☐	TV_MATUL	TV_LFZ	INT2	5	0	Volatilities - Underlying Transaction Term
12	RUNTIME_TO	☐	TV_MATUL	TV_LFZ	INT2	5	0	Volatilities - Underlying Transaction Term
13	STRIKERATE_FROM	☐	RFTBB_HWCALIBRATION_STRIKE_TY	PWKURS	DEC	10	7	Strike Rate for Calibration of Hull-White Model
14	STRIKERATE_TO	☐	RM_OSPROZE	PWKURS	DEC	10	7	Strike in percent (for percentage quotation)
15	SIGMA_START	☐	RFTBB_HWCALIBRATION_SIGMA_TY		DEC	11	7	Sigma (Volatility Parameter for Hull-White Model)
16	REVERSION_START	☐	FTBB_DTE_MEANREV	RM_VOLAMEANREV	DEC	16	8	Reversion Rate for Yield Curve Model
17	MAXIMUM_CHI_VALUE	☐	RFTBB_MAXIMUM_CHI_VALUE		DEC	12	8	Maximum Permitted Value of Merit Function
18	MAXIMUM_CHI_CHANGE	☐	RFTBB_MAXIMUM_CHI_CHANGE		DEC	12	8	Maximum Permitted Change in Merit Function
19	MAXIMUM_ITERATIONSCOUNT	☐	RFTBB_MAXIMUM_ITERATIONSCOUNT		INT4	10	0	Maximum Number of Iterations
20	STARTVALUE_FROM_DB	☐	RFTBB_HWCALIBRATION_FROMDB_TY	FLAG	CHAR	1	0	Ind.: Read Start Values for H-W Calibration from Database
21	STARTVALUES_EXPLICITELY_GIVEN	☐	RFTBB_HWCALIBRATION_FROMDB_TY	FLAG	CHAR	1	0	Ind.: Read Start Values for H-W Calibration from Database
22	FIX_SIGMA	☐	RFTBB_HWCALIBRATION_FIXPAR_TY	FLAG	CHAR	1	0	Fix the Parameters for the Calibration of Hull-White Model
23	FIX_REVERSION	☐	RFTBB_HWCALIBRATION_FIXPAR_TY	FLAG	CHAR	1	0	Fix the Parameters for the Calibration of Hull-White Model
24	TESTRUN	☐	CHECKBOX	FUNC	CHAR	1	0	Checkbox in Reporting
25	VNAME	☐	TV_VNAME	TV_VNAME	CHAR	15	0	Volatility Name	*
26	PROFIL	☐	TV_PROFIL	TV_PROFIL	CHAR	15	0	Volatility Pofile	*
27	STRIKERATE	☐	TV_MNYNSS	TV_MNYNSS	DEC	7	5	Volatilities - Moneyness Factor
28	SIGMA_RESULT	☐	RFTBB_HWCALIBRATION_SIGMA_TY		DEC	11	7	Sigma (Volatility Parameter for Hull-White Model)
29	REVERSION_RESULT	☐	FTBB_DTE_MEANREV	RM_VOLAMEANREV	DEC	16	8	Reversion Rate for Yield Curve Model
30	CHI_VALUE_RESULT	☐	RFTBB_MAXIMUM_CHI_VALUE		DEC	12	8	Maximum Permitted Value of Merit Function
31	CHI_CHANGE_RESULT	☐	RFTBB_MAXIMUM_CHI_CHANGE		DEC	12	8	Maximum Permitted Change in Merit Function
32	ITERATIONSCOUNT_RESULT	☐	RFTBB_MAXIMUM_ITERATIONSCOUNT		INT4	10	0	Maximum Number of Iterations
33	STATUS	☐	RFTBB_STATUS		CHAR	16	0	Status of Calibration

Foreign Keys

	Source Table	Source Column	Foreign Table	Foreign Column	Dependency Factor	Cardinality left	Cardinality right
1	RFTBB_HWCALIBRATION	CURRENCY	TCURC	WAERS	REF	1	CN
2	RFTBB_HWCALIBRATION	HW_VOLATILITY_TYPE	ATVO1	VOLART	REF	1	CN
3	RFTBB_HWCALIBRATION	IR_VOLATILITY_TYPE	ATVO1	VOLART	REF	1	CN
4	RFTBB_HWCALIBRATION	SZKART	JBD14	SZKART	REF	1	CN

History

Last changed by/on	SAP	20130529
SAP Release Created in	500