Comments (2)
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.
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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from strata.