How To Fix RY489 - Volatilität kann mit Vanna-Volga-Methode nicht ermittelt werden

SAP Error Message - Details

• Message type: E = Error

• Message class: RY - Messages for RM Basis

• Message number: 489

• Message text: Volatilität kann mit Vanna-Volga-Methode nicht ermittelt werden

Was verursacht dieses Problem?

You are using a volatility type with moneyness definition <LS>Option
Delta</> and you have set the volatility smile construction method to
<LS>Vanna-Volga Approximation</> in the evaluation type.
The system was not able to determine a volatility to be used in the
option valuation. This can have several possible reasons:
No market data was found for one of the required volatilities used in
the smile construction. The required market data is:
25% delta call volatility (moneyness value 0.25)
At-the-money volatility (moneyness value 0.5)
25% delta put volatility (moneyness value 0.75 or -0.25)
Numerical error in the vanna-volga equation due to invalid input

Systemantwort

The system tries using the at-the-money-volatility. If it cannot find
the at-the-money volatility, then, instead of using the central
volatility database, it tries to find a volatility in the
underlying-specific volatility database without moneyness. As a
consequence, the volatility smile effect is ignored.

Wie behebe ich diesen Fehler?

Check the market data for completeness.

Vorgehensweise für Systemadministratoren

Das System gibt eine Fehlermeldung aus und erlaubt Ihnen nicht, mit dieser Transaktion fortzufahren, bis der Fehler behoben ist.

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