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RMBSC - Define Basis Spread Curve Types

RMBSC - Define Basis Spread Curve Types

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Define basis spread curve types using attributes influencing market data selection and as many currency/tenor pairs as you require. In addition, you must assign basis spread IDs to them.

You need to have defined basis spread IDs under Define Basis Spreads.

SAP delivers predefined settings for this configuration activity. You can change these settings according to your needs.

Creation of a New Basis Spread Curve Type

  1. Enter the 4-digit name of the yield curve type and choose Create.

Note: If you want to create a new basis spread curve type that is very similar to an existing spread curve type, enter the 4-digit name of the existing yield curve type and choose Copy. Now you enter the 4-digit name of the new basis spread curve type. The new basis spread curve type is created with the same settings as the existing basis spread curve type. Make any necessary changes and save the new yield curve.

  1. Enter a long description for the basis spread curve type.
  2. In the Curve Properties area, choose the following setting for the basis spread curve type:

This property has no impact on the selection of market data.
  1. In the Market Data Properties area, you define the permitted maximum age (in days) for the market data. It influences the selection of the market data (basis spread values).
  2. Choose New Currency/Tenor.
  3. Choose the type of the spread (Tenor Spread or Cross-Currency Spread).
  • Tenor Spread

Enter the currency in the Currency field and define the term and the time unit for Tenor 1 and Tenor 2.
  • Cross-Currency Spread

Enter the term and time unit of the tenor and then choose Currency 1 and Currency 2.
  • Mark all required currencies and choose Copy.

  1. Mark a line item and choose Detail.
  2. On the Maintain Basis Spread Curve Type: Basis Spread References screen in the Market Data Properties area, assign the Quotation Type for market data access. This influences the selection of market data (basis spread values).
  3. In the Basis Spread Curve Structure area, you assign the basis spread IDs for this basis spread curve.
Choose New Basis Spread IDs. The dialog box that appears provides a list of basis spread IDs for which the underlying reference rates match the currency/tenor pair. Mark the required basis spread IDs. Choose Copy.
Set the Mandatory checkbox for all reference interest rates that are mandatory for the yield curve construction.
If you have assigned the wrong basis spread IDs, mark the line item and choose Edit -> Delete Selected Entries.
  1. Save your entries and choose Back.
  2. Continue with the next spread type.
  3. When you have finished, save your entries.

Maintenance of Existing Basis Spread Curve Types

Enter the 4-digit name of the basis spread curve type and choose one of the following functions:

  • Change
You can change all settings for the basis spread curve type. Make your changes and save the basis spread curve type.
  • Display
You can see all settings for the basis spread curve type. You cannot change the settings.
  • Delete
With this function, you can delete obsolete basis spread curve types. You cannot delete a basis spread curve type that is in use. Basis spread curve types can be used in evaluation types and also in yield curve types for the calculation of forwards.
  • Check
This function checks all basis spread curve types, basis spread IDs, and the assigned reference interest rates for consistency. Inconsistencies are displayed, along with suggestions about how to fix them. You need to remove all inconsistencies before using the basis spread curve types.
  • Transport
With this function, you can transport the basis spread curve type. For purposes of consistency, the master data of the assigned basis spread IDs and of the reference interest rates is transported as well.






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