SAP Function Module RM_HULL_WHITE_TRINOMIAL_TREE
Hull-White IR Model with Trinomial Tree for Options
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The Function Module RM_HULL_WHITE_TRINOMIAL_TREE (Hull-White IR Model with Trinomial Tree for Options) is a standard Function Module in SAP ERP and is part of the function group RMOP within the package FTBB.
Technical Information
| Function Module | RM_HULL_WHITE_TRINOMIAL_TREE |
| Short Text | Hull-White IR Model with Trinomial Tree for Options |
| Function Group | RMOP |
| Package | FTBB |
| Module Type | Normal Module |
Importing Parameters
These are the IMPORTING parameters of this function module.
| Parameter Name | Type | Associated Type | Default Value | Short Text |
|---|---|---|---|---|
| I_DISCOUNTFACTORS | TYPE | VTVOP_DISCOUNTFACTOR_TAB | discountfactor table for option evaluation | |
| I_HORIZON | TYPE | TIME_SPAN | Zeitspanne in Jahresbruchteilen | |
| I_MAXIMUM_STEPLENGTH | TYPE | JBR_MAXIMUM_STEPLENGTH | Maximal erlaubte Schrittweite bei Diskretisierungsverfahren | |
| I_MEAN_REVERSION | TYPE | F | H/W-Volatilitätsparameter Mean Reversion | |
| I_NUMBER_OF_STEPS | TYPE | JBR_NUMBER_OF_STEPS | Vorgabeschrittzahl für Diskretisierungsverfahren | |
| I_SIGMA | TYPE | F | H/W-Volatilitätsparameter sigma |
Exporting Parameters
This function module does not define any EXPORTING parameters.
Changing Parameters
These are the CHANGING parameters of this function module.
| Parameter Name | Type | Associated Type | Default Value | Short Text |
|---|---|---|---|---|
| C_FIX_CASHFLOWS | TYPE | VTVOP_FIX_CF_TAB | fix cashflow table for option evaluation | |
| C_OP_DESCRIPTIONS | TYPE | VTVOP_DESCRIPTION_TAB | Beschreibung der Ausübungsgelegenheiten von Bermudaoptionen |
Table Parameters
This function module does not define any TABLE parameters.
Exceptions
This function module does not define any Exceptions.