How To Fix RY488 - No volatility smile construction method in the evaluation type

RY488 - Overview

• Message type: E = Error

• Message class: RY - Messages for RM Basis

• Message number: 488

• Message text: No volatility smile construction method in the evaluation type

What causes this issue?

In the evaluation type/valuation rule, you entered a volatility type
with moneyness defintion <LS>Option Delta</>. However, you have not
entered a volatility smile construction method. This setting is required
to access the central volatility database for delta-quoted volatilities.

System Response

The system cannot determine a delta-quoted volatility. It searches for a
volatility in the underlying-specific volatility database without
moneyness instead. This implicates that the smile effect is ignored.

How to fix this error?

Enter a volatility smile construction method on the tab <LS>Evaluation
Control 2</> in the definition of the evaluation type/valuation
rule.

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 RY488 - No volatility smile construction method in the evaluation type ?

  The SAP error message RY488, which states "No volatility smile construction method in the evaluation type," typically occurs in the context of financial instruments, particularly when dealing with options and their pricing models in SAP's Treasury and Risk Management (TRM) module. This error indicates that the system is unable to find a defined method for constructing a volatility smile for the specified evaluation type.
  
  Cause:
  
  
  Missing Configuration: The most common cause of this error is that the volatility smile construction method has not been configured for the specific evaluation type you are using. This could be due to a lack of setup in the system or an oversight during the configuration process.
  
  
  Incorrect Evaluation Type: The evaluation type being used may not be correctly linked to a volatility smile construction method, or the evaluation type may not be appropriate for the financial instruments being evaluated.
  
  
  Data Inconsistencies: There may be inconsistencies or missing data