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INTR_VOLA_CURV_MRM - Enter Interest Rate Volatility Curve

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In this table, you can enter the interest rate volatilities for certain interest rate volatility curves directly.

The way a yield curve is generated in the system depends on whether the interest rates are in the yield category 'par rate' or 'Zero bond rate'

• If the yield category is par rate, the system generates zero bond rates and zero bond discounting factors.

• If the yield category is zero bond rate, the system only generate zero bond discounting factors, and no par rates.

To carry out value at risk evaluations using the variance/covariance approach, the system requires interest rate volatilities on the basis of zero bond rates. If a yield curve only contains interest in the yield category, zero bond rate, the system can access the interest rates directly. If, on the other hand, a yield curve contains interest in the yield category par rate, the system requires additional information in order to identify the zero bond rates to be used for the volatility calculations. This information is taken from the details for the interest rate volatility curve.

If you have only defined yield curves with the yield category zero bond rate in your risk hierarchy, no settings are necessary for the interest rate volatility curve.

If your risk hierarchy also contains yield curves with the yield category par rate, you must enter the interest rate volatilities this table.

For more information about using volatilities in Market Risk Analyzer, see SAP Library:

Treasury and Risk Management -> Market Risk Analyzer -> Data Pool -> Price parameters -> Volatility

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This documentation is copyright by SAP AG.

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