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

  • Show details Hide details
  • ¿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.


RY489 - Details








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