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Volatility Swap / How-to?

lorenz_sperl
Contributor
0 Kudos

Hi experts,

has anyone of you ever had to keep Volatility Swaps in SAP-Treasury (EhP4/5)?

Any idea welcome!

Regards,

Lorenz

Accepted Solutions (0)

Answers (1)

Answers (1)

tomislavkolonic
Employee
Employee
0 Kudos

Hi Lorenz,

perhaps you can try with commodity swaps and define volatilities as where commodities?

BR,

Tomislav