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Calibration of Hull-White Interest Structure Model (New) ( RELNBANKFSCM_500_CALIBR )

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Short text

Calibration of Hull-White Interest Structure Model (New)

Use

As of SAP ECC 5.00, Financial Services (EA-FS 500), you can use a specific transaction to calibrate the Hull-White interest structure model. Calibration is essentially an optimization process during which the system determines the Hull-White volatility parameters using the currently implied Black-Scholes volatility values from swaptions and caplets. This results in the best possible match between the option prices calculated in line with the Hull-White model and those calculated using the Black-Scholes.

Effects on Existing Data

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

Further Information

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