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/BA1/V_TF4_VTYP - Edit Volatility Types

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In this IMG activity, you define volatility types, which allow you to classify volatilities. For each volatility type, you can define volatilities in the system for any underlyings such as exchange rates, reference interest rates, or financial instruments. The volatility type also contains additional descriptive parameters.

You have created at least one market data area in the IMG activity Create Market Data Area.

1. Enter a market data area.
2. Choose Copy. If you have already created volatility types, these are displayed in an overview list.
3. To create a new volatility type, choose New Entries. The detail screen is displayed automatically.
4. On the detail screen, specify the following:

• ID for the volatility type

• Long text for the volatility type

• Volatility category to distinguish between historical and implicit volatilities

• Volatility quotation

• Permitted maximum age

1. Use the strike type to specify whether you want to store strike values or moneyness values with the volatilities. Based on the selected strike type, enter the relevant scaling factor. In the volatility reports and when the price calculator accesses the volatilities, only the strike type selected in Customizing is displayed or used.
2. Save your entries.

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Length: 2179 Date: 20240523 Time: 215353     sap01-206 ( 37 ms )