No volatility smile construction method in the evaluation type

What causes this issue?

In the evaluation type/valuation rule, you entered a volatility type
with moneyness defintion <LS>Option Delta</>. However, you have not
entered a volatility smile construction method. This setting is required
to access the central volatility database for delta-quoted volatilities.

System Response

The system cannot determine a delta-quoted volatility. It searches for a
volatility in the underlying-specific volatility database without
moneyness instead. This implicates that the smile effect is ignored.

How to fix this error?

Enter a volatility smile construction method on the tab <LS>Evaluation
Control 2</> in the definition of the evaluation type/valuation
rule.

Procedure for System Administrators

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

Error message extract from SAP system. Copyright SAP SE.