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BADI_FTBB_YC_SC_FORW - BAdI: Derive Basis Spread Curves for Forward Calculation

BADI_FTBB_YC_SC_FORW - BAdI: Derive Basis Spread Curves for Forward Calculation

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This Business Add-In (BAdI) is used in Treasury and Risk Management (FIN-FSCM-TRM) to derive basis spread curves for the forward rate calculation of reference interest rates assigned to forward yield curve types. The BAdI filter Basis Spread Curve Derivation for Forward Curves is the only procedure for deriving basis spread curves for forward calculation (see also Define Basis Spread Curve Derivation ID). Either a BAdI implementation for such a procedure can be deliveredby SAP (see the example), or you can create your own coding corresponding to the basis spread curve derivation ID that you have created for forward calculation.

The forward calculation is usually based on the forward curve type assigned to the reference interest rate under consideration. If you have assigned a basis spread curve type to the yield curve type for forward calculation (see the Customizing activity Define Yield Curve Types), this calculation can also be based on basis spread curves. The possible basis spread curves are then taken from the assigned basis spread curve type.

For information about the implementation of BAdIs in the context of the Enhancement Concept, see SAP Library for SAP NetWeaver under BAdIs - Embedding in the Enhancement Framework.

See also:

This BAdI uses the interface IF_EX_FTBBYC_SPREAD_CURVES_FWD. For more information, display the interface in the class builder.

SAP delivers the standard BAdI implementation BADI_BSPRD_DER_FWD_001 corresponding to the basis spread derivation ID TENO Build Fwd Curve w/ Right Tenor for forward calculation. This implementation compares the tenor of the reference interest rate to the tenor of its assigned forward yield curve. If they differ, the system searches for a suitable tenor spread curve with which to transform the curve to the tenor of the reference interest rate. For more information about the procedure logic, display the coding in the BAdI builder.

To be able to use this BAdI implementation for your purposes, you have to perform the following steps:

  • Assign a basis spread curve type to the yield curve type for forward calculation (see also the Customizing activity Define Yield Curve Types).
  • Assign the basis spread derivation ID TENO to the field Spread Derivation ID (Forward) on the Evaluation Control for the relevant evaluation types or valuation rules (see also the Customizing activity Define and Set Up Evaluation Types).





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