Questions tagged [sensitivities]
The sensitivities tag has no usage guidance.
13
questions with no upvoted or accepted answers
4
votes
0
answers
171
views
Market Risk FRTB - How to demonstrate that the linear transformation of the alternative definition of Vega reflects the actual vega risk?
I have a question regarding the use of alternative vega sensitivities (bank system sensitivities) in the context of the Vega Risk Charge of the SBM.
The article 325t.6 of the CRR allows banks to ...
- 41
3
votes
0
answers
145
views
Pathwise sensitivities of American options - Derivative of the American payoff function
How can I compute the derivative of the payoff function for an American put option?
In the paper "Smoking adjoints: fast Monte Carlo Greeks" by Giles and Glasserman (2006) they compare two ...
- 548
1
vote
0
answers
107
views
Delta sensitivity calculation according to SIMM
According to this article, in the ISDA SIMM methodology, the delta sensitivity for interest rate products is calculated using
$$ \text{delta} = \frac{V (x + 1 \text{bp}) - V (x - 1 \text{bp})}{2} $$
...
- 802
1
vote
0
answers
323
views
Duration of interest rate swap - seek explanation from a previous post
I have come across a Q&A about the calculation of the duration of an interest rate swap on this site.
In the Q&A, the derivative is calculated as:
$\frac{\partial PV}{\partial r}=t_nD(t_n)+q\...
- 93
1
vote
0
answers
203
views
PV01 of physically-settled swaption
Can we say that the PV01 of the physically-settled swaption is equal to the annuity / discount factor?
- 636
1
vote
0
answers
155
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 ...
- 455
1
vote
0
answers
31
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 ...
- 11
0
votes
0
answers
74
views
Why are we so focused on Zero Coupon Bonds?
In fixed income markets there seem to be two prevailing term structure modelling approaches:
Market Models
HJM Framework
In Market Models, such as the LIBOR Market Model (LMM) and SABR it is common ...
- 548
0
votes
0
answers
26
views
Digital Coupon Note: price impact of 1bp change in high coupon
Think about issuing digital coupon dual ccy notes below.
Notional ccy: USD
Tenor: 10yr
Coupon: if eurusd > certain level, 6%
otherwise 0%, SA
Redemption: if eurusd > certain level2, usd 100%. ...
- 3
0
votes
0
answers
43
views
Interest Rate sensitivity due to floating rate liabilites
I am new to finance, so please bear with me
I am supposed to find the change in 'interest expense' when the borrowing rate goes up by 50bps. The liabilities include both fixed and floating rate ...
0
votes
0
answers
156
views
Bond yield with known DV01
Is there a way to calculate the yield of a bond knowing the DV01 and duration (numerical values) and knowing all other parameters of $V$ (maturity, coupon, etc.)?
$$DV01=-\frac{\partial V}{\partial y}$...
- 113
0
votes
0
answers
108
views
Spread sensitivity of TRS
I am about to understand the valuation of a TRS. The approach I am applying derives risk neutral survival / default probabilities from the ratio between risk free and spread adjusted rates and uses ...
0
votes
0
answers
109
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}_{...
- 376