By Bucket
Subtype of Delta ModeEach relevant market quote (for example the 5Y market swap rate) is separately shifted in sequence by a specified amoount x, while all other market quotes are kept fixed at their original value.
After each such shift, the price of the referenced tradable is recalculated.
Then, depending on the chosen delta definition, either the difference (NewPrice - OldPrice) or the ratio (NewPrice - OldPrice) / x is reported as the bucket delta associated with the shifted market quote.
If there are any dividend amounts involved, those are shifted by the amoount in
Delta Amount Shift
.