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Procedure documentationGrid Analysis Locate the document in its SAP Library structure

In grid analysis, a portfolio evaluation is carried out several times on the basis of changing price parameters. The change in the NPV of the position is calculated for each combination of price parameters. In this way, you can identify how sensitive selected portfolio values are to changes in one or two influencing factors, such as the exchange rate and the interest structure yield curve. You can easily recognize unfavorable price parameter combinations as worst-case.

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Procedure

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      1.      In the SAP Easy Access screen, choose Accounting ® Bank Applications ® SEM Banking ® Market Risk Analysis ® Information System ® Grid Analysis.

      2.      In the Selection of Transactions data group, specify the base portfolios you want to analyze:

a)     Choose a View.

b)     Choose a Portfolio Hierarchy.

c)     You can define that the system selects only those transactions on a particular Portfolio Hierarchy Node.

      3.      Enter the evaluation parameters:

a)     Choose an Evaluation Type.

b)     Choose an Evaluation Currency.

c)     Specify the Evaluation Date.

d)     Specify the Horizon.

e)     If appropriate, enter a Scenario.

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      4.      Now select the X-axis and Y-axis factors whose values you want to be able to vary. You can choose from the following factors:

·        Yield curves (all; all for a particular currency; a particular yield curve)

·        Currencies (all currency pairs, all exchange rate pairs for a target currency, a particular currency pair)

·        Security (all, one class)

·        Indexes (all; a particular index)

·        Volatilities (all, a particular volatility)

      5.      Define the gradual change of the initial values in the Percentage field and enter the number of steps. The number of steps defines the size of the grid.

      6.      Choose This graphic is explained in the accompanying text Execute.

Result

Within a grid structure, you will see the NPV changes for all combinations of the market price changes you specified.

Note

Choose  This graphic is explained in the accompanying text Graphic to display the data using SAP Business Graphics.

Choose Error log to display the errors that occurred during processing.

Choose Calculation basis, to display the market data and scenario data on which the NPV calculation is based.

 

 

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