Is there a standard method (statistical or model based) to reproject rates risk obtained on a full set of tenors onto a smaller subset of tenors ?
Let's imagine that I got a delta in the following form:
Delta in $ per bps move.
FRA 3M 3.5 FUT H14 4.5 FUT M14 4.4 FUT U14 4.6 FUT Z14 4.8 FUT H15 4.9 FUT M15 4.4 FUT U15 4.6 FUT Z15 4.6 SWAP 2Y 6.2 SWAP 3Y 6.6 SWAP 4Y 8 SWAP 5Y 10 SWAP 6Y 12 SWAP 7Y 18 SWAP 8Y 17 SWAP 9Y 10 SWAP 10Y 17 SWAP 11Y 18 SWAP 12Y 680 SWAP 13Y 610 SWAP 14Y 6 SWAP 15Y 0 SWAP 16Y 0 SWAP 17Y 0 SWAP 18Y 0 SWAP 19Y 0 SWAP 20Y 0 SWAP 25Y 0 SWAP 30Y 0 SWAP 50Y 0
Let's say I would like to see my risk with these tenors as I do not want to trade the other tenors, what would be the most appropriate to obtain a way to convert the risk from one set of tenor to another ?
FRA 3M FUT H14 FUT M14 FUT U14 FUT Z14 FUT H15 FUT M15 FUT U15 FUT Z15 SWAP 2Y SWAP 5Y SWAP 10Y SWAP 15Y SWAP 20Y SWAP 30Y SWAP spread 30Y/50Y