Ansicht
Dokumentation

/BA1/VC_TF4_MSTR - Edit Maturity Structures

PERFORM Short Reference   SUBST_MERGE_LIST - merge external lists to one complete list with #if... logic for R3up  
This documentation is copyright by SAP AG.

In this Customizing activity, you create maturity structures.

A maturity structure combines a set of key rates with different maturities (for example, 1, 2, 3, 4, 5, and 10 years) is combined for several currencies and forms the basis for calculating key rate durations.

Note:

Normally, key rates are defined only for selected main currencies such as USD, EUR, and JPY. You can create an empty currency as a standard key rate for all other currencies.

In order to calculate the exact key rate duration, the system moves the yield curve only along one of the key rates, beginning with the shortest maturity, and calculates the net present value. Subsequently, the system moves the yield curve along the next key rate and calculates the net present value again. Thus, the system calculates an individual key rate duration for each maturity using the calculated net present values. The number of key rate durations is therefore identical to the number of key rates that you defined.

Note:

If you are using Bank Analyzer, you can define the value by which the system is to move the yield curve along the key rate in Bank Analyzer Customizing, under Processes and Methods -> General Calculation and Valuation Methods -> Present Value Calculation -> Price Calculator -> Edit Price Calculator Environments in the "Settings for Price Calculator Environment" view. Enter the requested value in the "Interest Rate Shift" field. Bear in mind that the interest rate shift in the price calculator environment does not only apply to the key rate durations, but also to all other shifts on the yield curve.

For more information, see Market Data -> Interest on SAP Help Portal.

1. Choose New Entries.
2. Enter an abbreviation for the maturity structure, as well as a meaningful description. The ID can be up to 10 characters long.
3. If the system is to calculate the key rate convexities as well, select the "Key Rate Conv." indicator.
4. Select the maturity structure, and switch to the "Currencies" view in the dialog structure.
5. Choose New Entries.
6. Enter the currency codes of the currencies for which you later want to calculate key rates.

Note:

In order to create an empty currency, enter a blank character instead of the currency code.

You can only create currencies contained in the TCURC table. You can view the currencies contained in the table in the Customizing activity Check Currency Codes.

1. Select a currency code in the view, and switch to the "Attributes" view in the dialog structure.
2. Choose New Entries.
3. Enter an abbreviation for the key rate ID, and define the attributes of the key rate.
4. Save your entries.

RFUMSV00 - Advance Return for Tax on Sales/Purchases   ABAP Short Reference  
This documentation is copyright by SAP AG.

Length: 3552 Date: 20240419 Time: 121054     sap01-206 ( 58 ms )