Add a Field To New Condition Table in Pricing

Try to add the filed from the field catalog. In case the required combination field is not there, you can add the field through the following process to filed catalog and create the condition table. It is most common that one or other time we need to use this function while configuring multi tasking & complex Pricing Architecture.

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Here is a guide to add fields to the Pricing Field Catalogues:

For example you want to use field PSTYV ('Sales document item category') that is included in structure KOMP ('Pricing Communication Item') as a key for a condition table.

When you create a condition table (Transaction V/03), however, the system does not propose the field in the field catalog.

Condition access, field catalog, allowed fields, KOMG, KOMK, KOMP, KOMPAZ, KOMKAZ, PSTYV are the other terms which we need to know about, to add Fields.

Reason and Prerequisites:
For technical reasons, field PSTYV was included in structure KOMP, however, not in structure KOMG ('Allowed Fields for Condition Structures').

Proceed as follows:
1. Call up the ABAP Dictionary (Transaction SE11) and create data type ZZPSTYV. Choose PSTYV as a domain.As a short text, you can use, for example, 'ZZ - sales document item category' and as a field label, you can use the field labels of PSTYV.Save, check and activate your entries.

2. Call up structure KOMPAZ in the ABAP Dictionary (Transaction SE11) in the change mode and make the following entry:
Component Component type:
ZZPSTYV ZZPSTYV
Save, check and activate the change you made.

3. Note:Because of the change in structure KOMPAZ, field ZZPSTYV is now known in structures KOMG and KOMP because structure KOMPAZ is included in both structures.

4. Call up Transaction SPRO. Navigate to 'Sales and Distribution -> Basic Functions -> Pricing -> Pricing Control' and execute 'Define Condition Tables'.
Choose 'Conditions: Allowed fields' and include ZZPSTYV as a new entry.

5. Note:Now you can use field ZZPSTYV as a key field when you create a condition table Axxx.

6. Supply the new field you defined by including the following source code line in USEREXIT_PRICING_PREPARE_TKOMP:
MOVE xxxx-PSTYV TO TKOMP-ZZPSTYV.
In order processing you find the user exit in Include MV45AFZZ, and in billing document processing you find it in Include RV60AFZZ.

Consider that you can also use this note as a help if you want to use other customer-specific fields as key fields in a condition table.

For header fields, use structure KOMKAZ instead of structure KOMPAZ and
USEREXIT_PRICING_PREPARE_TKOMK instead of
USEREXIT_PRICING_PREPARE_TKOMP.

来自 “ ITPUB博客 ” ,链接:http://blog.itpub.net/21882360/viewspace-1023059/,如需转载,请注明出处,否则将追究法律责任。

转载于:http://blog.itpub.net/21882360/viewspace-1023059/

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To price a barrier option on FX rate by Monte Carlo simulation, you can follow these steps: 1. Define the basic parameters of the barrier option, including the spot FX rate, strike price, option expiration date, barrier level, barrier type (up/down), barrier monitoring frequency, volatility, and risk-free rate. Store these parameters in variables. 2. Generate the simulated FX rate paths. Use a random number generator (such as the normal distribution) to generate a set of random shocks to the FX rate at each time step. Use these random shocks to simulate a set of possible FX rate paths for the option's life. Store these paths in a matrix. 3. Determine if the barrier has been breached for each simulated path. At each monitoring frequency, check if the FX rate has crossed the barrier level. If it has, take note of the time and location of the first breach. 4. Calculate the payoff for each simulated path. If the FX rate breached the barrier before the option expiration, the option expires worthless. If the FX rate did not breach the barrier before the option expiration, the option payoff is the maximum of 0 and the difference between the FX rate and the strike price. 5. Discount the payoff to the present value. Use the risk-free rate and the option's time to expiration to calculate the discount factor and present value for each simulated path. 6. Calculate the option price. Take the average of all the present values calculated in step 5 to get the option price. Here's an example of how to implement these steps in Python: ```python import numpy as np # Define basic parameters S0 = 1.2 # Spot FX rate K = 1.3 # Strike price T = 1 # Time to expiration B = 1.1 # Barrier level barrier_type = 'up' # Barrier type monitoring_freq = 10 # Barrier monitoring frequency sigma = 0.2 # Volatility r = 0.05 # Risk-free rate N = 10000 # Number of simulations dt = 1/252 # Time step # Generate the simulated FX rate paths ST = np.zeros((N, monitoring_freq+1)) ST[:,0] = S0 for i in range(N): for j in range(1, monitoring_freq+1): ST[i,j] = ST[i,j-1] * np.exp((r-sigma**2/2)*dt + sigma*np.sqrt(dt)*np.random.normal()) # Determine if the barrier has been breached for each simulated path breached = np.zeros(N, dtype=bool) time_to_breach = np.zeros(N) for i in range(N): for j in range(1, monitoring_freq+1): if barrier_type == 'up': if ST[i,j] > B: breached[i] = True time_to_breach[i] = j break else: if ST[i,j] < B: breached[i] = True time_to_breach[i] = j break # Calculate the payoff for each simulated path payoff = np.zeros(N) for i in range(N): if breached[i]: payoff[i] = 0 else: payoff[i] = max(0, ST[i,-1] - K) # Discount the payoff to the present value df = np.exp(-r*T) pv = payoff * df # Calculate the option price price = np.mean(pv) ``` This code generates random FX rate shocks at each time step to simulate possible FX rate paths for the option's life. It then checks if the barrier is breached for each path and calculates the payoff for each path. Finally, it discounts the payoff to the present value and calculates the option price as the average present value across all paths. Note that this is a simplified example and more advanced techniques may be required to get accurate option prices.
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