on 02-19-2010 2:48 AM
We are trying to configure commodity options for VaR. When I run transaction RMV0, I am getting error message no. ry481 ((Volatility not found for volatility type NNN and underlying XXXXXX on xx/xx/2010. By the way , we are in ECC 6.0 in TRM - Enhancement 4.
Can anybody have any idea where I should look?
Thanks in advance.
Mr. Manish, are these volatilities taken from outside source - like that of exchange rates and interest rates?
Thank you.
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Hi,
Config paths:
Treasury and Risk Management
Basic Functions
Market Data Management
Manual Market Data Entry
Statistical Data
Enter Volatilities for Commodity Prices
and
Treasury and Risk Management
Basic Functions
Market Data Management
Master Data
Statistical Data
Volatilities with Moneyness
Volatilities - Assign Underlying Instrument
Assign Commodity ID
--
Manish
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Hi,
Please define volatility type in the system and assign the same to Evaluation Type you are using to generate VaR.
Also, data should be filled for the defined volatility types under market data managment.
Regards
Prasad AV
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