Ansicht
Dokumentation

Automatic Calibration of the Hull-White Model (New) ( RELNBANKFSCM_600_CALIB )

General Data in Customer Master   General Material Data  
This documentation is copyright by SAP AG.

Short text

Automatic Calibration of the Hull-White Model (New)

Use

From SAP ECC Enterprise Extension Financial Services 6.0 (EA-FS 600), if the price calculator is to use the Hull-White model to price interest-rate options, but cannot find any suitable volatility parameters, then it automatically calls a function for calibrating the model.

The calibration process optimizes the existing data by taking the current implied Black-Scholes volatility values for swaptions or caplets and using them to determine the Hull-White volatility parameters. The resulting parameters give the best possible calibration between the option prices obtained from the Hull-White model, and those from the Black-Scholes model.

Previously, there was a separate transaction that you could use to calibrate groups of transactions. The new function calibrates the data for individual transactions automatically.

Effects on Existing Data

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

Further Information

SAP Library under SAP Banking -> Strategic Enterprise Management (SEM) for Banks -> Market Risk Analysis -> Price Calculator for Financial Instruments -> -> Option Price Calculator -> Use of the Hull-White Model to Price Options-> Calibration of the Hull-White Model.

BAL Application Log Documentation   rdisp/max_wprun_time - Maximum work process run time  
This documentation is copyright by SAP AG.

Length: 1835 Date: 20240426 Time: 165625     sap01-206 ( 39 ms )