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Questions tagged [sensitivities]

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61 views

Find Interest Rate Swap BUMPs from Bloomberg in Excel

I have a bunch of plain vanilla interest rate swap contracts with all the relevant details regarding payment structure such as notional, fixed rate, index, payment frequency, reset convention, etc.. ...
2
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2answers
144 views

Origin of the $-\frac{1}{P}$ in Macaulay Duration?

Changes in the yield curve affect the total return of a coupon bond instrument, hence I want to compare different bond instruments in how sensitive they are to $y$. Well, I just take the derivative, ...
1
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0answers
55 views

PV01 of physically-settled swaption

Can we say that the PV01 of the physically-settled swaption is equal to the annuity / discount factor?
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1answer
48 views

Sensitivity Approximation - Crank Nicolson

I am looking into a new method of calculating sensitivities starting off with a proof of concept with Black Scholes PDE. Suppose I want to calculate Rho and take the derivative of the PDE (heresy!!) ...
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3answers
232 views

Definition of the field YAS_RISK for bonds on Bloomberg terminal

The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is ...
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0answers
79 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
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1answer
49 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
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0answers
106 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
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2answers
259 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
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1answer
703 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 ...
6
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1answer
140 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
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1answer
393 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
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1answer
159 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 ...
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0answers
79 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
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4answers
3k 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
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2answers
392 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 ...
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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
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1answer
251 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
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1answer
774 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
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2answers
648 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 ...