How To Fix T8065 - No substitute volatility found for option on security number &

SAP Error Message - Details

• Message type: E = Error

• Message class: T8 - Analysis system evaluations

• Message number: 065

• Message text: No substitute volatility found for option on security number &

What causes this issue?

If the system cannot find a volatility for the security ID number you
specified, it searches for an interest rate volatility for the
reference interest rate used in the valuation curve for this security,
as the term of the reference interest rate is closest to that of the
security. The system first searches for the reference interest rate in
the bid curve, and then in the ask curve.

System Response

If the system finds a volatility, this is translated into a price
volatility. If it cannot find a volatility, it generates this error
message.

How to fix this error?

Define a volatility for the security ID number in the table for
securities volatilities:
Menu: Market risk --> Market data --> Current settings --> Enter
securities volatilities

Error message extract from SAP system. Copyright SAP SE.