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 spread 30Y/50Y
  • 1
    $\begingroup$ Can you give us a specific example? 'Rates' is quite a wide area, you could mean all sorts of instruments... $\endgroup$ – Phil H Jan 3 '14 at 15:03
  • $\begingroup$ How are you calculating these deltas? $\endgroup$ – Joshua Ulrich Jan 3 '14 at 22:39
  • $\begingroup$ They are obtained via bumping your inputs in your risk/pricing model and recomputing the PV. $\endgroup$ – BlueTrin Jan 4 '14 at 17:15

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