Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [sensitivities]

The tag has no usage guidance.

0
votes
0answers
39 views

Spread duration and spread risk for a T bill

How is the spread duration/ spread DV01 for a T bill computed. For a bond paying fixed coupons, the spread DV01 is generally taken to be the yield DV01 (yield sensitivity). But the bond equivalent ...
1
vote
1answer
43 views

Port a model dependent swaption sensitivity to a new model

I have a short rate model in which I have (among others) the following metric (for leverages) for a swaption : $$L = \frac{\frac{\partial}{\partial r}V_0^{\textrm{Swaption}}}{\frac{\partial}{\partial ...
1
vote
0answers
97 views

Ultra Powerfull Vibrato Montecarlo for delta sensitivities of a not regular payoff

Ciao, I am working on a derivative with the following payoff at time $T$: $$ \sqrt{(S_T - K)^+} $$ where $S_T$ is the value of the stock at the expiring date. As usual we will assume $S_t$ to be a ...
4
votes
2answers
139 views

“Where is my money”: CDS Sensitivities, Spreads and PnL Calculations

Trading CDS I experienced something unexpected: A half year ago I sold protection on a single name at a spread of 190bp The coupon was 5% and the contract had a maturity of five years. Using ...
1
vote
1answer
331 views

Option greeks as dollar P&L

If I write the value of an option as O(S, K, T, V), where S is the underlying price, K is the strike, T is the time to expiry and V the implied volatility, how can I compute the dollar amount that I ...
5
votes
1answer
110 views

Application of Vibrato Montecarlo methods

Ciao, I was studying Vibrato Montecarlo methods and I came up with a very simple question: what is an real application of this method? Let me explain. In short the main idea of the method is the ...
1
vote
1answer
264 views

Black Scholes Theta Finite difference

I am trying to obtain the Theta from Closed Formula by using Finite Difference methods and I observe some discrepancies. For instance, here with the following parameters: Spot:50, Strike:50, Rate: 0....
4
votes
1answer
146 views

Existential question about currency exchange Risk Factor

Ciao All, I'm working to a problem about sensitivities for products with several ccy and this questions came out. For simplicity consider a linear product (a simple cash flow) w.r.t. the ccy ...
0
votes
0answers
67 views

Sensitivity analysis

If I want to test the sensitivity of a diversified, multi-asset class portfolio to say a 100 bps shock upwards in the S&P 500, the simplest solution would be to run an OLS defined as: $\hat{Y}_{...
2
votes
4answers
2k views

IR Swaps - Curve sensitivity at maturity node

I was recently trying to price some IR swaps in BBG. I noticed that when I shock the yield curve up by 1bps at a single specific node, the DV01 is close to zero except at the node nearest the maturity....
2
votes
2answers
335 views

Deduce expected exposure profile from option/structure delta?

I am thinking about whether there exists a relationship between the delta of an option (or any structured derivative) and it's expected positive/negative exposure? An intuitive question would be the ...
1
vote
0answers
24 views

Scalar and vectorial sensitivities

In a recent discussion about the implementation of the calculation of derivative sensitivities, the notion 'scalar' and 'vectorial sensitivities' were used. I am not familiar with this notion and ...
2
votes
1answer
238 views

What should be the sign of greek letter $\rho$?

I'm reading the book Risk Management and Shareholders Value in Banking by Resti & Sironi. I quote a paragraph from the book (Chapter 5, appendix): The derivative of an option’s value with ...
5
votes
1answer
693 views

How to interpret this CDS spread sensitivity pattern?

From page 27, Table 6: Why are sensitivities of CDS slightly negative before the maturity of the CDS? I do not get the intuition: if I am long a 5-year CDS, the spreads <5y increase, and the 5y ...
4
votes
2answers
624 views

How to compute greeks using the adjoint Monte Carlo approach?

Assume I have a stochastic ODE $$dS = a(S)dt + b(S)dW,$$ with Euler approximation $$\hat{S}_{n+1}=F_n(\hat{S}_n)=\hat{S}_n+a(\hat{S}_n)h+b(\hat{S}_n)Z_n\sqrt{h}.$$ This allows me to create sample ...