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

RY487 - Overview

• 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,