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Displaying the Key Figures for Sensitivity Gamma, Vega, and Theta (New) ( RELNBANKCFM_RA_200_GREEK )

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Displaying the Key Figures for Sensitivity Gamma, Vega, and Theta (New)

Use

From SAP R/3 Enterprise Financial Services 2.00 (EA-FINSERV 200), you can use the system to calculate not only the delta of options, but also the sensitivity key figures gamma, vega, and theta. These parameters reveal how an option reacts to changes in the price of its underlying, the residual maturity, and volatility. This information is contained in the detail log for single value analysis.

Effects on Existing Data

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

Further Information






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This documentation is copyright by SAP AG.

Length: 944 Date: 20191022 Time: 033205     sap01-206 ( 16 ms )

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