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Dokumentation
RFTBFF20 - File Interface: Import Statistics Data
General Material Data ROGBILLS - Synchronize billing plansThis documentation is copyright by SAP AG.
Description
Report RFTBFF20 allows you to transfer external market data into the SAP system in file form.
Transfer functions
As part of the SAP Banking Release 3.0F the file interface supports the following transfer functions:
- Category 01: Transfer of volatilities
- Category 02: Transfer of correlations
- Category 03: Transfer of beta factors
The market data are further classified according to instrument type or data class, which indicates which type of volatilities, correlations or beta factors are to be transferred.
- Class 01: Exchange rate
- Class 02: Security price (stock, bond)
- Class 03: Reference interest rate
- Class 04: Index value
Example: CATEGORY 01 CLASS 01 = Transfer of exchange rate volatilities
File input format
Report program RFTBFF20 requires the input file to be in a specific format and inserts the data into the operative SAP market data tables.
IMPORTANT:
This format must be adhered to, since incorrect entries can only be corrected by making time-consuming manual amendments (correcting individual entries in customer-specific ABAP report programs). Before you import your market data to the SAP system using report program RFTBFF20, you must therefore check that it is in the file format described below. You can do this in a test run by choosing Test run on the program selection screen.
Requirements
Technical Description of Transfer Structures
A generic data structure is used to transfer the market data. Different versions of this structure are necessary for the different data types.
General Structure of the File for Transferring Market Data to the SAP System
Record structure:
| Field no. | Meaning | Cat. | Length | R/O/E | Description |
|---|---|---|---|---|---|
| 1 | Value cat. | CHAR | 2 | R | Value category |
| 2 | Class 1 | CHAR | 2 | R | Data class for |
| instrument 1 | |||||
| 3 | Key 1 | CHAR | 20 | R | Data description 2 |
| for instrument 1 | |||||
| 4 | Key 2 | CHAR | 20 | R | Data description 2 |
| for instrument 1 | |||||
| 5 | Class 2 | CHAR | 2 | R | Data class for |
| instrument 2 | |||||
| 6 | Key 1 | CHAR | 20 | R | Data description 1 |
| for instrument 2 | |||||
| 7 | Key 2 | CHAR | 20 | R/O/E | Data description 2 |
| for instrument 2 | |||||
| 8 | Date | CHAR | 8 | R | Contribution date |
| 9 | Value type | CHAR | 10 | R | Volatility type, |
| correlation type, | |||||
| beta type | |||||
| 10 | Ret. period | CHAR | 5 | R | Retention period |
| 11 | Rate type 1 | CHAR | 15 | O/E | Market data type |
| for instrument 1 | |||||
| 12 | Rate type 2 | CHAR | 15 | E | Market data type |
| for instrument 2 | |||||
| 13 | Value | CHAR | 20 | R | Volatility value, |
| correlation value, | |||||
| beta factor value | |||||
| 14 | Time | CHAR | 6 | O | Contribution time |
| 15 | Period | CHAR | 4 | O | Sample size |
| 16 | Confid.lvl | CHAR | 6 | O/E | Confidence level |
| 17 | Decay | CHAR | 4 | E | Decay factor |
Authorization
Before you start the program, make sure that you have authorization for transaction TVMD.
General Notes
| Abbreviations: |
|---|
The record structure uses the abbreviations R (required fields), O (optional fields) and E (empty fields). Required fields (R) must be filled with values. Optional fields (O) can be filled. These optional fields can be derived from required fields or left out. They are used to check the consistency of a data record. Fields for which no entry is required (E) must be filled up with spaces. The decision on whether a field is required or optional depends on the value category and the data class category.
Whole numbers and decimal places are separated by a period.
| Code Conversion: |
|---|
At present, SAP does not plan to support conversion of external notation into internal (SAP) notation. Data must be supplied in the format defined in the Customizing (if it refers to data defined in the SAP system).
| Value Category: |
|---|
The value category specifies which key value for an instrument (volatility, correlation factor or beta factor) is to be transferred. The following fixed values are defined in the SAP system:
- 01,,Volatilities
- 02,,Correlations
- 03,,Beta factors
| Instrument Type/Data Class: |
|---|
The instrument type differentiates between currencies, interest rates, indexes and securities.
When you require values derived from a combination of instruments, you must define an instrument type for each instrument.
In the following description, the terms instrument type, data class and class are used synonymously.
The following fixed values for the instrument type are defined in the system:
- 01,,Exchange rate
- 02,,Security price
- 03,,Reference interest rate
- 04,,Index value
| Value Type: |
|---|
This field depends on the VALUE CATEGORY field and is defined as follows:
- Value type = 01,,Volatility type
- Value type = 02,,Correlation type
- Value category = 03,,Beta factor type
- Volatility Type: The volatility type has descriptive character. It describes the statistics type and the rate category of the underlying volatility. For example, in the foreign exchange area the rate category tells you whether bid, middle or ask rates were used to calculate the volatility. You use the statistics type to define other descriptive parameters, such as the sample size, term or confidence level of the volatility.
- Correlation Type: The correlation type also has descriptive character. It describes the rate category and the statistics type of the underlying correlation between two instruments. There are two rate categories: the security price category and the exchange rate category. The instrument type of the correlation transferred determines which rates category applies. As for the volatility type, the statistics type is used to define other descriptive parameters. Only the sample size or period apply to correlations. In addition, there is an extra parameter for the determination category of the sample elements (not relevant for data transfer).
- Beta Factor Type: The beta factor type describes the sample size or period and the retention period.
If the additional fields mentioned above are transferred via the interface, the corresponding value type must be cross-checked. If the value type is invalid, the field must be taken out. The rate category information is specified in field RATE TYPE 1. For correlations, the rate category information must also be specified in field RATE TYPE 2.
| Retention Period: |
|---|
The RETENTION PERIOD field is the key for volatilities and correlations, and must be filled. You enter the period in days. The retention period specifies the number of days for which price changes are to be determined. In the risk management area, the retention period is the number of days required to offset incoming positions. When you run a historical simulation, the relative price change is calculated for each day of the historical period. The price change Kn is the percentage change in price between day n and day n + retention period.
| Sample Period: |
|---|
The sample period or time series is the number of days used to determine price changes. For historical simulation, the user maintains the time series for risk factors in a historical market database. The intervals used for the price changes always overlap by a day. For example, to determine price changes for a data set of 200 days with a retention period of 10 days, you would need a time series of 210 days. The sample period is relevant for all three value categories. However, it does not have to be specified by the user. For volatilities and correlations the system derives the sample period via the value type (volatility type or correlation type) and the statistics type. For beta factors the sample period is encrypted via the beta factor type. If this field is filled, the system checks the value in the DDIC tables. If the entry is invalid, the system rejects the transfer record.
| Confidence Level: |
|---|
The confidence level is used to define the value-at-risk (VaR). VaR states the minimum change in the value of a position within the sample period up to liquidation or hedging with a certain degree of probability (confidence level). If , for example, you want to determine the VaR with a 95% level of confidence, your result is the change in value below which 95% of value changes would not fall. The confidence level is only used for volatilities. If the field is filled, the system cross-checks the value with the database table, via the value type (here: volatility type) and the statistics type. If the entry is invalid, the system rejects the transfer record.
| Decay Factor: |
|---|
At present, the decay factor is an open field that is neither cross-checked nor saved. SAP plans to enhance the program to derive the decay factor via the value type. The decay factor is not relevant for beta factors.
Required/optional fields for volatilities
| Field Name | Cat. | Length | R/O/E | Description |
|---|---|---|---|---|
| Value cat. | CHAR | 2 | R | Fixed value for volatility '01' |
| Data class 1 | CHAR | 2 | R | Data class for instrument 1 |
| Key 1 | CHAR | 20 | R | Key 1 for instrument 1 |
| Exchange rates: FROM currency | ||||
| Security prices (sec. ID no.) | ||||
| Reference interest rates | ||||
| Indexes | ||||
| Key 2 | CHAR | 20 | O | Key 2 for instrument 1 |
| R | Exchange rates: TO currency | |||
| Data class 2 | CHAR | 2 | R | Data class for instrument 2 |
| Key 1 | CHAR | 20 | E | Empty |
| Key 2 | CHAR | 20 | E | Empty |
| Date | CHAR | 8 | R | Contribution date |
| Format: DDMMYYYY | ||||
| Value type | CHAR | 10 | R | Volatility type |
| Ret. period | CHAR | 5 | R | No. of days |
| Rate type 1 | CHAR | 15 | O | middle, ask, spot |
| Rate type 2 | CHAR | 15 | E | Empty |
| Value | CHAR | 20 | R | Volatility value |
| Time | CHAR | 6 | O | Contribution time |
| Format: HHMMSS | ||||
| Period | CHAR | 4 | O | Sample period in days |
| Confid. lvl | CHAR | 6 | O | Confidence level of volatility |
| in % (0.00 to 100.00) | ||||
| Decay factor | CHAR | 4 | E | Value between 0.00 and 1.00 |
Notes on Volatility Fields:
Value Category:
The value category for volatilities is 01.
Instrument Type/Data Class:
The instrument type differentiates between currencies, interest rates, indexes and securities. Volatilities are defined for the following instrument types:
- 01,,Exchange rates
- 02,,Security prices
- 03,,Reference interest rates
- 04,,Index values
Key for instrument 1: For instrument types 02 (security price), 03 (reference interest rate), and 04 (index), the key for the first instrument comprises one field (KEY 1). For instrument type 01 (currency), field KEY 2 is used as a second key for the first instrument.
Key for instrument 2: This field is not used for volatilities.
Date: In the date field you enter the date on which the volatility was calculated or determined in the format DDMMYYYY.
Value type: The value type describes the volatility type. As volatility types must be specified, you need to define them in customizing before volatilities are transferred to the SAP system. The name for the volatility type must be defined by the user, and can be chosen freely. You define the volatility types in table ATV01. Here, you enter the rate category and the statistics type. You need to have defined the statistics type in customizing before you can define volatility types. You can define statistics types in table ATVO3. When defining the statistics type, the fields for sample size or sample period and confidence level are relevant for the transfer structure.
Retention period: The field RETENTION PERIOD is the key for volatilities and must be filled.
Value: Volatility value: The whole numbers and decimal places must be separated with a period.
Sample period: Although the sample period is relevant for volatilities, it does not have to be specified by the user, as the system can derive the value via the volatility type and the statistics type. If the user enters a value in this field, the system must cross-check the value with the DDIC tables. If the value is invalid, the system rejects the transfer record.
Confidence level: If the user enters a value in this field, it needs to be cross-checked with table ATVO3, via the volatility type and statistics type. If the value is invalid, the system rejects the transfer record.
Required/Optional Fields for Correlations
| Field Name | Cat. | Length | R/O/E | Description |
|---|---|---|---|---|
| Value cat. | CHAR | 2 | R | Fixed value for correlations '02' |
| Data class 1 | CHAR | 2 | R | Data class for instrument 1 |
| Key 1 | CHAR | 20 | R | Key 1 for Instrument 1 |
| Exchange rates: FROM currency | ||||
| Security prices (sec. ID number) | ||||
| Reference interest rates | ||||
| Indexes | ||||
| Key 2 | CHAR | 20 | R | Key 2 for Instrument 1 |
| R | Exchange rates: TO currency | |||
| Data class 2 | CHAR | 2 | R | Data class for instrument 2 |
| Key 1 | CHAR | 20 | R | Key 1 for instrument 2 |
| R | Exchange rates: FROM currency | |||
| R | Security prices (sec. ID number) | |||
| R | Reference interest rates | |||
| R | Indexes | |||
| Key 2 | CHAR | 20 | O | Key 2 for instrument 2 |
| R | Exchange rates: TO currency | |||
| Date | CHAR | 8 | R | Contribution date |
| (Format: DDMMYYYY) | ||||
| Value type | CHAR | 10 | R | Correlation type |
| Ret. period | CHAR | 5 | R | No. of days |
| Rate type 1 | CHAR | 15 | O | Rate type of 1st instrument |
| (middle, bid, ask, spot) | ||||
| Rate type 2 | CHAR | 15 | O | Rate type of 2nd instrument |
| (middle, bid, ask, spot) | ||||
| Value | CHAR | 20 | R | Volatility value |
| Time | CHAR | 6 | O | Contribution time |
| Format: HHMMSS | ||||
| Period | CHAR | 4 | O | Sample period in days |
| Confid. lvl | CHAR | 6 | O | Confidence level of volatility |
| in % (0.00 to 100.00) | ||||
| Decay factor | CHAR | 4 | E | Value between 0.00 and 1.00 |
Notes on Correlation Fields:
Value category: The value category for correlations is 02.
Instrument Type/Data Class:
The instrument type differentiates between currencies, interest rates, indexes and securities. Correlations are defined for the following instrument types:
- 01,,Exchange rates
- 02,,Security prices
- 03,,Reference interest rates
- 04,,Index values
Key for instrument 1: For instrument types 02 (security price), 03 (reference interest rate), and 04 (index), the key for the first instrument comprises one field (KEY 1). For instrument type 01 (currency), field KEY 2 is used as a second key for the first instrument.
Key instrument 2: The user must specify the key for the second instrument. This is the instrument for which correlations are defined. For instrument types 02 (security price), 03 (reference interest rate), and 04 (index), the key for the second instrument comprises one field (KEY 1), as for the first instrument. For instrument type 01 (currency), field KEY 2 is used as a second key for the second instrument.
Date: In the date field you enter the date on which the volatility was calculated or determined in the format DDMMYYYY.
Value: Correlation value: The whole numbers and decimal places must be separated with a period.
Value type: The value type describes the correlation type. As correlation types must be specified, you need to define them in Customizing before correlations are transferred to the SAP system. The name for the correlation type must be defined by the user, and can be chosen freely. You define the correlation types in table ATKO1. Here, you enter the rate category (security price category and exchange rate category) and the statistics type. You need to have defined the statistics type in Customizing before you can define the correlation type. You define the statistics type in table ATVO3. When defining the statistics type, the field for the sample size or period is relevant for the transfer structure. The confidence level is not relevant for correlations.
Retention period: The retention period forms the key for correlations and must be specified in days.
Sample period: Although the sample period is relevant for correlations, it does not have to be specified by the user, as the system can derive the value via the correlation type and the statistics type. If the user enters a value in this field, the system must cross-check the value with the DDIC tables. If the value is invalid, the system rejects the transfer record.
In contrast to the DDIC table of volatilities, the correlation table ATXKO contains all the correlation types. Therefore there are no separate tables for exchange rates, security prices, reference interest rates or indexes.
Required/optional fields for beta factors
| Field name | Cat. | Length | R/O/E | Description |
|---|---|---|---|---|
| Value cat. | CHAR | 2 | R | Fixed value for beta factors '03' |
| Data class 1 | CHAR | 2 | R | Data class for instrument 1 |
| usually index (04) | ||||
| Key 1 | CHAR | 20 | R | Key 1 for instrument 1 |
| Index name | ||||
| Key 2 | CHAR | 20 | E | Key 2 for instrument 1 |
| Data class 2 | CHAR | 2 | R | Data class for instrument 2 |
| usually security | ||||
| Key 1 | CHAR | 20 | R | Key 1 for instrument 2 |
| Security ID number | ||||
| Key 2 | CHAR | 20 | E | Key 2 for instrument 2 |
| Date | CHAR | 8 | R | Contribution date |
| (Format: DDMMYYYY) | ||||
| Value type | CHAR | 10 | R | Beta factor type |
| Ret. period | CHAR | 5 | R | Number in days |
| Rate type 1 | CHAR | 15 | O | Rate type of 1st instrument |
| (spot, closing) | ||||
| Rate type 2 | CHAR | 15 | E | Rate type of 2nd instrument |
| Value | CHAR | 20 | R | Beta factor |
| Time | CHAR | 6 | O | Contribution time (HHMMSS) |
| Period | CHAR | 4 | O | Sample period in days |
| Confid. lvl | CHAR | 6 | E | Empty |
| Decay factor | CHAR | 4 | E | Empty |
Notes on beta factor fields
Value category: The value category for beta factors is 03.
Instrument type / Data class:
The instrument type differentiates between currencies, interest rates, indexes and securities. Correlations are defined for the following instrument types:
- 01,,Exchange rates
- 02,,Security prices
- 03,,Reference interest rates
- 04,,Index values
As a beta factor is a ratio variable of two different instruments - indexes and security or stock ID numbers - the instrument types for the instruments are predefined in the system.
Key for instrument 1: The key for the first instrument comprises one field, and describes the index to which the beta factor relates.
The second field of the key (KEY 2) is not required and remains empty.
Key for instrument 2: The user must specify the key for the second instrument. It specifies the security ID number for which the beta factor is calculated. The key comprises one field (KEY 1), which describes the security ID number.
Date: Date on which the beta factor is calculated or determined. The date must be entered in the format DDMMYYYY.
Value type: The value type describes the beta factor type. As beta factor types must be specified, you need to define them in Customizing before beta factors are transferred to the SAP system. The name for the beta factor type must be defined by the user, and can be chosen freely. You define the beta factor types in table JBRBFART. Here, you enter the retention period and the sample size or period upon which the beta factor is based.
Retention period: For beta factors, the retention period plays only a subordinate role, and the field is optional. The retention period can be derived indirectly via the beta factor type. If you do specify a retention period, the system cross-checks the entry with DDIC tables, and rejects the transfer record if the value is invalid.
Value: Beta factor: The whole number and decimal places must be separated with a period.
Sample period: Although the sample period is relevant for beta factors, it does not have to be specified by the user, as the system can derive the value indirectly via the beta factor type. If the user enters a value in this field, the system cross-checks the value with the DDIC tables. If the value is invalid, the system rejects the transfer record.
TXBHW - Original Tax Base Amount in Local Currency CPI1466 during Backup
This documentation is copyright by SAP AG.
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