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VC_VOLANAME - Define Master Data for Volatilities with Moneyness

BAL Application Log Documentation   CL_GUI_FRONTEND_SERVICES - Frontend Services  
This documentation is copyright by SAP AG.

Define volatility names and profiles, and enter the values for volatilities with moneyness.

1. Define volatility names and profiles.
1. Choose New Entries.
2. On the detail screen Names of Volatilities, enter an abbreviation for the volatility structure in the Volatility Name field, and a descriptive long text in the text field.
3. Choose Save.
4. Select the volatility name and choose Profile of Volatilities.
5. Choose New Entries.
6. Enter the parameters for the volatility structure:

Volatility profile

Term of the option

Term of the underlying

Moneyness factor

1. Choose Save.

Enter the values for volatilities.

1. Mark the Volatility Name and choose Volatilities in the dialog structure on the left-hand side.
2. Now you can change existing entries or you choose New Entries to enter new values.
3. On the following screen, choose a Volatility Type.
4. In the Volatility Profile area, choose the volatility profile. The settings of the chosen profile are displayed in the following fields:

Option Term

Underlying Term

Moneyness Factor

1. In the Volatility area, you enter the volatility values using the following fields:

Volatility Effective Date: Date as of which a volatility value is valid.

Volatility: Here you enter the value of the volatility for the specific date.

Reversion Rate:

1. Choose Save.

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

Length: 2662 Date: 20240523 Time: 164005     sap01-206 ( 32 ms )