# How to reproject rates risk on a subset of tenors

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

• Can you give us a specific example? 'Rates' is quite a wide area, you could mean all sorts of instruments... – Phil H Jan 3 '14 at 15:03
• How are you calculating these deltas? – Joshua Ulrich Jan 3 '14 at 22:39
• They are obtained via bumping your inputs in your risk/pricing model and recomputing the PV. – BlueTrin Jan 4 '14 at 17:15