How to use RMHWCAL - Calibration of the Hull-White Model

SAP Transaction Code - Details

• Transaction Code: RMHWCAL

  Description: Calibration of the Hull-White Model

  Release: S/4HANA and ECC 6

  Menu Path:

  • Accounting > Financial Supply Chain Management > Treasury and Risk Management > Basic Functions > Market Data Management > Manual Market Data Entry > Statistical Data > Calibrate Hull-White Interest Rate Structure Model

• • Program: RFTBB_HWCALIBRATION2

    Screen: 1000

    Authorization Object:

  • Development Package: FTBB

    Package Description: Risk Management Basis

    Parent Package: FS_SEM_TRMAN

  • Module/Component: FIN-FSCM-TRM-MR

    Description: Market Risk Analyzer

Smart SAP Assistant

• SAP Tcode: RMHWCAL - Calibration of the Hull-White Model

  
  Overview:
  RMHWCAL is a SAP transaction code used to calibrate the Hull-White Model. The Hull-White Model is a mathematical model used to price interest rate derivatives. It is a two-factor model that takes into account the volatility of the short-term and long-term interest rates. 
  
  Functionality: 
  RMHWCAL allows users to calibrate the Hull-White Model by inputting market data such as interest rate curves, swaptions, and other derivatives. The calibration process involves adjusting the parameters of the model to match the market data as closely as possible. Once calibrated, the model can be used to price interest rate derivatives accurately. 
  
  Step-by-step How to Use: 
  1. Enter RMHWCAL in the command field and press enter. 
  2. Input the market data into the appropriate fields. 
  3. Adjust the parameters of the model until it matches the market data as closely as possible. 
  4. Once calibrated, use the model to price interest rate derivatives accurately. 
  
  Other Recommendations: 
  It is important to note that RMHWCAL is only used for calibrating the Hull-White Model and cannot be used for pricing derivatives directly. Additionally, it is recommended that users familiarize themselves with the Hull-White Model before attempting to use RMHWCAL for calibration purposes.