Matrix Valuation 

When you run a matrix valuation, a position valuation is made several times using slightly different input parameters each time. A position value is calculated for every input parameter combination. In this way, you can identify the sensitivity of selected financial transactions to changes of one or two variables, e.g. exchange rate and currency interest rate.

The matrix evaluation differs from a scenario analysis, since no complete scenarios are defined, and only selected variables are gradually changed.

Procedure

  1. Choose Financial accounting ® Treasury ® Market risk ® Information system ® Mark-to-market ® Matrix evaluation

    2. The selection screen for report RVTVBW11 appears.

  2. Select the financial transactions to be analyzed. You can select any level down to single transaction.
  3. Specify the NPV valuation within the data group Program control by entering the following values:
    1. Currency
    2. Valuation from
    3. Display currency
    4. Indicator, whether cash flow on the horizon is taken into account
    5. Scenario
    6. Evaluation type
  4. Choose execute.

    5. You will get the dialog box Grid axis definition.

    With the grid axis definition, you vary the market data of the evaluation type or of the scenario.

  5. Set the values for both the X and the Y axis, whose values you wish to vary. You have the following choices:
  1. Also enter the incremental change of the number in the field Percent and the number of steps in the field Disp.

For reasons dealing with display, the maximum number of steps is limited to three.
  1. Choose continue.

Result

You will see the mark-to-market value of the selected transactions, when two influential figures have been changed.

Choose Goto ® Calculation basis to display the market data (or scenario data) used in the valuation.