How To Fix TE258 - Durée validité &3 jour(s) calendrier et facteur annualisation &4 déterm.

SAP Error Message - Details

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 258

• Message text: Durée validité &3 jour(s) calendrier et facteur annualisation &4 déterm.

Quelle est la cause de ce problème?

The holding period of the <LS>Value at Risk</> (or correspondingly the
random walk step size in the case of the <LS>Cash Flow at Risk</>) of
&V1& day(s) is given in terms counted in working days. However, the
correlations and volatilities are stored for terms counted in calendar
days. Therefore, the holding period of &V1& day(s) is converted into a
term of &V3& day(s) using the number of working days &V2& of the year
based on the calendar settings:
&V3& = &V1& * 365 / &V2&
Due to rounding effects, it is possible in the case of small holding
periods that the resulting term is equal to the holding period.
The volatilities are stored as annual volatilities. Consequently, the
volatilities are converted in accordance with holding period &V1&. This
is done by dividing the volatility by the annualization factor &V4&,
which is calculated as follows:
&V4& = SQRT( &V2& / &V1& )

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