Evaluation of Yield Curves (SAP Library

Evaluation of Yield Curves

To use this function, choose Treasury ® Market risk ® Market data ® Manual market data entry ® Interest ® Evaluate yield curve.

Use

Using this function provides you with an overview of the calculability of the selected curves and also of the percentage shares of the interest rates entered for the curve or for the date. Additionally, you can have the interest rates and zero bond discounting factors for a certain yield curve displayed or the yield curve depicted graphically. You can also directly enter missing reference interest rates for the selected combination of yield curve type, currency and date.

Integration

For the evaluation of yield curves, the system reads the interest rates and zero bond discounting factors from the interest tables.

Prerequisites

In Customizing you must have defined and assigned the currency of the yield curve type for which you wish to have the interest rates displayed. You can also create or edit the yield curve type directly from the overview screen or from the detail screen by choosing Environment ® Set up yield curve.

Scope of functions

Initial screen

Use the initial screen to enter the selection criteria (yield curve type, currency, date). From here you can call up the overview screen or the detail screen directly.

Overview screen - yield curve list

The yield curve list contains the following details:

Information on the calculability of the yield curve. The yield curve can be calculated () if at least one reference interest rate has been entered for the yield curve in accordance with the reading procedure.
Percentage rate specification of the reference interest rates already maintained for the yield curve (%AC) or for the date (%AD).
Details on the redemption currency if this has been maintained in Customizing or directly by means of Environment ® Currency redemption.

From here you can call up the functions Display yield curve values and Display calculation basis for the yield curves you selected by choosing Goto. In addition, by choosing you can branch to the detail screen of the selected yield curve.

Detail screen

Two tab pages are displayed on the detail screen:

On the yield curve values tab page you can see the interest rates used in the yield curve in the form of par and zero coupon rates and also the corresponding zero bond discounting factors for the interest date.
On the calculation basis tab page you see the reference interest rates always without markup or markdown according to the interest calculation method of the reference interest rates. Interpolation appears under reference interest if an annual grid value enhanced by interpolation is involved. Choosing brings you back to the overview screen.

This function also offers you the following other options:

Function	Result
Maintain curve interest rates	Here you can enter or change the reference interest rates on the yield curve date.
Environment ® Display interest rates graphically	All interest rates of the selected reference interest existing in the selected period are displayed graphically.
Environment ® Display average curve	The average interest rates (par and zero coupon rates) and zero bond discounting factors are listed for the selected period.
Environment ® Display average curve graphically	The average yield curve is displayed graphically.

For the calculation of the average yield curve:

All interest rates in the selected period of the reference rate in question are used and weighted with the number of validity days in accordance with the interest calculation method of the reference interest rate.

Example

Reference interest rate: DEM_02_Y_M
Selected period: 01/01/1999 - 01/31/1999
Interest rates valid in this area:
from 12/15/1998: 3 %
from 01/11/1999: 4 %
from 01/21/1999: 5 %
Interest calculation method of the reference interest: act/365
The average reference interest rate is calculated with this as follows:
(10 * 3 % + 10 * 4 % + 11 * 5 %) / 31 = 4.03 %
The average yield curve is structured on the basis of the average reference interest rates.