How To Fix RY487 - Unable to determine delta-quoted volatility iteratively

SAP Error Message - Details

• Message type: E = Error

• Message class: RY - Messages for RM Basis

• Message number: 487

• Message text: Unable to determine delta-quoted volatility iteratively

What causes this issue?

You are using a volatility type with moneyness definition <LS>Option
Delta</> and have set the volatility smile construction method to
<LS>Fixed-Point Iteration</> 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.
The iteration procedure for finding a consistent volatility-delta pair
failed.

System Response

Instead of using the central volatility database, the system tries to
find a volatility in the underlying-specific volatility database without
moneyness. Consequently<(>,<)> the volatility smile effect is ignored.

How to fix this error?

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

Procedure for System Administrators

Error message extract from SAP system. Copyright SAP SE.

Smart SAP Assistant

• What is the cause and solution for SAP error message RY487 - Unable to determine delta-quoted volatility iteratively ?

  The SAP error message RY487, "Unable to determine delta-quoted volatility iteratively," typically occurs in the context of financial applications within SAP, particularly when dealing with derivatives pricing or risk management. This error indicates that the system is unable to compute the volatility of an option or derivative instrument using the iterative methods it employs.
  Causes:
  
  Data Issues: Missing or incorrect market data (e.g., prices, interest rates, or other parameters) can lead to the inability to calculate volatility.
  Model Parameters: The parameters used in the volatility model may be set incorrectly or may not be suitable for the current market conditions.
  Market Conditions: Extreme market conditions or illiquid markets can lead to difficulties in calculating volatility.
  Configuration Issues: Incorrect configuration of the pricing model or the underlying asset in the SAP system can also lead to this error.
  
  Solutions:
  
  Check Market Data: Ensure that all necessary market data is available and accurate. This includes checking for missing prices, interest rates, and other relevant parameters.
  Review Model Parameters: Verify that the parameters used in the volatility model are appropriate for the current market conditions. Adjust them if necessary.
  Adjust Calculation Settings: If applicable, consider adjusting the settings for the iterative calculation method used in the system. This may involve changing convergence criteria or the maximum number of iterations allowed.
  Consult Documentation: Refer to SAP documentation or help resources for specific guidance on the volatility model being used and any known issues or configurations.
  System Configuration: Review the configuration of the financial instruments in the SAP system to ensure they are set up correctly.
  Contact Support: If the issue persists, consider reaching out to SAP support for assistance, especially if this is a recurring problem.
  
  Related Information:
  
  SAP Notes: Check for any relevant SAP Notes that may address this specific error or provide patches or updates.
  Community Forums: Engage with SAP community forums or user groups where similar issues may have been discussed.
  Documentation: Review the SAP documentation related to the financial module you are using, as it may provide insights into the error and its resolution.
  
  By following these steps, you should be able to diagnose and resolve the RY487 error in your SAP system.