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Valuing Swaptions with Different Start Dates for the Swap Parts (Enhanced) ( RELNBANKCFM_MR_200_SWAPT )

Vendor Master (General Section)   BAL Application Log Documentation  
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Short text

Valuing Swaptions with Different Start Dates for the Swap Parts (Enhanced)

Use

From SAP R/3 Enterprise Financial Services 2.00 (EA-FINSERV 200), and also for SAP Banking Release Services 4.63/CFM 2.0 and SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110), you can value swaptions. You can use any of the three valuation models (Hull-White, Black-Scholes as interest rate option, Black-Scholes as bond option) to value swaptions, and the start date of the underlying (swap part) can be earlier than or later than the maturity date of the option.

For more information about the valuation models see the Hull-White valuation model.

Effects on Existing Data

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

Further Information

BAL_S_LOG - Application Log: Log header data   Fill RESBD Structure from EBP Component Structure  
This documentation is copyright by SAP AG.

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