SAP Note 215714 - FX-VaR: Scaling error with delta item

Component : Market Risk Analysis -

Solution : https://service.sap.com/sap/support/notes/215714 (SAP Service marketplace login required)

Key words :
attached source code corrections, exchange rate factor relationship, additional key words var, exchange rate factors, currency risk factors, var evaluations, currency translation, delta item, net present, solution implement

Related Notes :

183800Calculatn accuracy w/ net present value calculation
180885Delta and gamma of currency items is too inaccurate