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Calculating and Adjusting Correlations Between Exchange Rates (New) ( RELNBANKFSCM_500_KORRDEV )

CPI1466 during Backup   ABAP Short Reference  
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Short text

Calculating and Adjusting Correlations Between Exchange Rates (New)

Use

From SAP ECC 5.00, Financial Services (EA_FS 500) the system contains a separate transaction that you use to calculate correlation matrixes for exchange rates and, if required, adjust them so that they are positive definite. You can use this function as preparation for pricing average spot options, and for value-at-risk analyses using the Monte Carlo or delta and delta/gamma methods.

To access this function, in the SAP Easy Access screen choose <ZK> SEM Banking -> Data Pool -> Price Parameters -> Calculate Correlations between Exchange Rates.

Effects on Existing Data

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

Further Information

ABAP Short Reference   ABAP Short Reference  
This documentation is copyright by SAP AG.

Length: 1147 Date: 20240419 Time: 101957     sap01-206 ( 14 ms )