How To Fix RY489 - La volatilidad no puede determinarse con el método Vanna-Volga

RY489 - Overview

• Message type: E = Error

• Message class: RY - Messages for RM Basis

• Message number: 489

• Message text: La volatilidad no puede determinarse con el método Vanna-Volga

¿Qué causa este problema?

You are using a volatility type with moneyness definition <LS>Option
Delta</> and you have set the volatility smile construction method to
<LS>Vanna-Volga Approximation</> 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 for one of the required volatilities used in
the smile construction. The required market data is:
25% delta call volatility (moneyness value 0.25)
At-the-money volatility (moneyness value 0.5)
25% delta put volatility (moneyness value 0.75 or -0.25)
Numerical error in the vanna-volga equation due to invalid input

Respuesta del sistema

The system tries using the at-the-money-volatility. If it cannot find
the at-the-money volatility, then, instead of using the central
volatility database, it tries to find a volatility in the
underlying-specific volatility database without moneyness. As a
consequence, the volatility smile effect is ignored.

¿Cómo arreglar este error?

Check the market data for completeness.

Procedimiento para Administradoras de Sistemas

El sistema emite un mensaje de error y no le permitirá continuar con esta transacción hasta que se resuelva el error.

Extracto de mensaje de error del sistema SAP. Copyright SAP SE.