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 avatar commented on May 16, 2024

We need to clarify what is meant by Delta, Bucketed Delta, Gamma and Bucketed Gamma.
For the moment for each instrument we create in the pricer a "presentValueSensitivity" which means point sensitivity to the interest rate curves (discounting and forward).
There is a generic "projection" to the curve parameter sensitivity in the RatesProvider and a generic projection on the "market quotes sensitivity" in MarketQuoteSensitivityCalculator (beta).
In some sense we have three types of Bucketed Delta.
There is also a generic gamma calculator "CurveGammaCalculator" which uses the point sensitivity methods to computes some types of gamma. For the moment only the "semi-parallel gamma" is implemented.

from strata.

jonathansenior avatar jonathansenior commented on May 16, 2024

Agree. Dave and James are working a full asset class coverage break-down where the meaning of these measures will be defined.

from strata.

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