FX Sensitivities (Example) 

Use

This report enables you to calculate and aggregate option sensitivities (delta, vega).

The delta shows you how the price of an option changes when the price of the underlying (currency) changes by one unit. The vega shows you how the value of the option depends on the changes to the volatility of the underlying (currency).

Prerequisites

Define the market data shift in the Market Risk Management application by choosing Master data ® Market data shift.

Features

Selection criteria

In the Control parameters area, you choose a translation type (such as "mean rate, as of today") to specify how you want the currency to be translated into the chosen display currency. (For more information, see the F1 Help for this field).

You can restrict the evaluation area of the report using the following selection criteria:

The following are required entries:

Output type

 

Graphical report output

Choose the output type you require.

Classic drilldown report

The classic drilldown report is set as a default in the system, but you can also choose a different output type.

For more information on the options available in drilldown reporting, see Drilldown Reporting in the SAP Library by choosing CA - Drilldown Reporting. See in particular the following chapters: How to Process Report Lists, Overview: Report/Report Interface, Saving, Printing, Exporting, Sending, Graphics.

Object list (more than one lead column)

If you choose this output type, the report is output using the SAP List Viewer.

The values calculated are output in the lists under the following columns:

Activities

 Example:

When you call up the report for calculating the FX sensitivities for all USD/EUR options, you must enter the following data:

Execute the report.