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RM_RH_BUFFER_RULE_FOR_CR - Aufbau des Regelpuffers mit historischen Währungskursänderungen

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Functionality

Filling the rule buffer with historical shift factors for bid rates and ask rates separately. To do this the FORM routine GET_HISTORY_FOR_CR is called and this implements the following algorithms:

A historical "shift factor vector" is set up for all end nodes of the risk hierarchy with the relevant currency pair (indicated by the node ID). The calculation basis for the shift factor for the i-th components of this vector is the reference date (current) and the reference date minus the holding period (predecessor). The current vector index refers to the current date.

The shift factor is the quotient of the exchange rate for the current date (more recent date) and the predecessor date (date further in the past), that is the reference date minus the holding period.

The rule ID describes only one shift factor and is made up of the node ID for the relevant end node and the relevant component for the historical shift factor vector.

Sample indexing for the shift vector, assumption: trade date = calendar date.

Index Shift factor for holding period = n > 0 trade dates -----------------------------------------------------------------------

1 Rate(today) / Rate(today - n)

2 Rate(today - 1) / Rate(today - n - 1)

i Rate(today - i +1) / Rate(today - n - i +1)

Structure of risk factor levels:

To continue processing the function module you have to select the nodes for which net present value routines have to be called (rule filter).

The "risk factor level" is calculated for the node selection. The risk factor level of a node is defined as the number of direct subordinates (successor nodes) that are either a relevant risk factor themselves, or are direct or indirect superordinates (predecessor nodes) of at least one relevant risk factor.
Another function module (TV_FILL_HISTORY_RULES) uses this information to draw up a list or rules for which the net present value calculator is called.

Algorithms to calculate the risk factor level:

An increment is set to one. Starting from the end node for the currency pair and continuing to the market risk level an increment is added to the risk factor level for each node and the system checks whether the level is > 1 (in other words that the node is already contained in another path). The increment is then set to zero.

Example

Notes

Parameters

AKTDAT
KURSTYP
REGELTYP
T_JBRRHBLT
W_HSDEF

Exceptions

Function Group

RMRH

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