How To Fix JBRCAG201 - Vola type &1: Delta-quoted volatilities are only supported for FX options

SAP Error Message - Details

• Message type: E = Error

• Message class: JBRCAG - Messages Relating to Risk Management Customizing

• Message number: 201

• Message text: Vola type &1: Delta-quoted volatilities are only supported for FX options

What causes this issue?

You are using a volatility type with moneyness definition <LS>Option
Delta</> for the NPV calculation of options with underlyings other than
foreign exchange transactions.
Delta-quoted volatilities are only supported for plain vanilla foreign
exchange options.

How to fix this error?

Use a volatility type with another moneyness definition.

Procedure for System Administrators

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

Error message extract from SAP system. Copyright SAP SE.

Smart SAP Assistant

• What is the cause and solution for SAP error message JBRCAG201 - Vola type &1: Delta-quoted volatilities are only supported for FX options ?

  The SAP error message JBRCAG201 indicates that there is an issue related to the volatility type being used in the context of financial instruments, specifically in the area of FX (foreign exchange) options. The message states that "Delta-quoted volatilities are only supported for FX options," which means that the system is expecting a certain type of volatility input that is not being provided correctly for the financial instrument you are working with.
  Cause:
  
  
  Incorrect Instrument Type: The error typically arises when you are trying to apply delta-quoted volatilities to a financial instrument that is not an FX option. Delta-quoted volatilities are specifically designed for FX options, and using them for other types of instruments (like interest rate options or equity options) will trigger this error.
  
  
  Configuration Issues: There may be a configuration issue in the system where the volatility type is not set up correctly for the specific financial instrument you are working with.
  
  
  Data Entry Error: There could be a mistake in the data entry where the wrong volatility type is selected or inputted.
  
  
  Solution:
  
  
  Verify Instrument Type: Ensure that the financial instrument you are working with is indeed an FX option. If it is not, you will need to use the appropriate volatility type for that specific instrument.
  
  
  Check Volatility Configuration: Review the configuration settings in your SAP system to ensure that the volatility types are correctly set up for the instruments you are dealing with. This may involve checking the settings in the financial derivatives module.
  
  
  Correct Data Entry: If the error is due to incorrect data entry, correct the volatility type being used. Make sure that you are using delta-quoted volatilities only for FX options.
  
  
  Consult Documentation: Refer to SAP documentation or help resources for more detailed information on how to handle volatilities for different types of financial instruments.
  
  
  Contact Support: If you are unable to resolve the issue, consider reaching out to your SAP support team or consulting with an SAP expert who can provide guidance based on your specific configuration and usage.
  
  
  Related Information:
  
  SAP Financial Services: Understanding how SAP handles financial instruments, particularly in the context of derivatives and options, can provide insights into how to manage volatilities.
  Volatility Types: Familiarize yourself with different types of volatilities (e.g., implied volatility, historical volatility) and their appropriate applications in financial modeling.
  SAP Notes: Check for any relevant SAP Notes that may address this specific error or provide additional context on handling volatilities in SAP.
  
  By following these steps, you should be able to identify the cause of the error and implement the necessary solutions to resolve it.