SAP Function Module RMMD_CALIBRATE_HW_VOLATILITY
Ermittelt Hull-White-Volatilitätsparameter per Kalibrierung am Geschäft
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The Function Module RMMD_CALIBRATE_HW_VOLATILITY (Ermittelt Hull-White-Volatilitätsparameter per Kalibrierung am Geschäft) is a standard Function Module in SAP ERP and is part of the function group RMMD within the package FTBB.
Technical Information
| Function Module | RMMD_CALIBRATE_HW_VOLATILITY |
| Short Text | Ermittelt Hull-White-Volatilitätsparameter per Kalibrierung am Geschäft |
| Function Group | RMMD |
| 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 |
|---|---|---|---|---|
| IT_IR_STRUCTURE | TYPE | VTVOP_DISCOUNTFACTOR_TAB | discountfactor table for option evaluation | |
| IT_OP_DESCRIPTIONS | TYPE | VTVOP_DESCRIPTION_TAB | Beschreibung der Ausübungsgelegenheiten von Bermudaoptionen | |
| I_BS_VOLATILITYTYPE | TYPE | TB_VOLART | Volatilitätsart | |
| I_CURRENCY | TYPE | JBWWAER | Währung | |
| I_EVALUATIONDATE | TYPE | DATS | Auswertungsdatum | |
| I_IR_CURVETYPE | TYPE | JBSZKART | Zinskurvenart | |
| I_MAXIMUM_CHI_CHANGE | TYPE | F | '0.00000001' | Abbruchkriterium: Änderung d. Gütefunktion |
| I_MAXIMUM_CHI_VALUE | TYPE | F | '1.0' | Abbruchkriterium: Betrag d. Gütefunktion |
| I_MAXIMUM_ITERATIONSCOUNT | TYPE | I | 200 | Abbruchkriterium: Anzahl d. Minimierungsschritte |
| I_REVERSION_START | TYPE | F | '0.1' | Startwert für Reversionsrate |
| I_SEQUENCE | LIKE | VTVSZVERL-SZVERLAUF | Szenarienverlauf | |
| I_SHIFTREGEL | LIKE | JBRREG | Regelstruktur für Simulationsanalysen | |
| I_SIGMA_START | TYPE | F | '0.01' | Startwert für Sigma |
| I_SZENARIO | LIKE | VTVSZKO-SZENARI | Szenario | |
| I_UL_MATURITY | TYPE | DATS | Fälligkeit des Underlyings | |
| I_VOLATILITYNAME | LIKE | ATVO0-VNAME | Volatilitätsname |
Exporting Parameters
These are the EXPORTING parameters of this function module.
| Parameter Name | Type | Associated Type | Default Value | Short Text |
|---|---|---|---|---|
| E_CHI_CHANGE | TYPE | F | Änderung von Chi bei letzter Iteration | |
| E_CHI_VALUE | TYPE | F | Wert von Chi | |
| E_ITERATIONSCOUNT | TYPE | I | Anzahl der durchgeführten Iterationen | |
| E_REVERSION | TYPE | F | Reversionsrate für Zinsstrukturmodelle | |
| E_SIGMA | TYPE | F | Sigma für Zinsstrukturmodelle |
Changing Parameters
This function module does not define any CHANGING parameters.
Table Parameters
This function module does not define any TABLE parameters.
Exceptions
This function module does not define any Exceptions.