YCRskMdl
TYPE
Yld Crv Risk Model
Model[Yield Curve]
Model[Valuation]
Model[Market]
Model
Type
Delta Mode
By Bucket
Flat
DF Delta
true
false
Jumps Delta
true
false
Deposits Delta
true
false
Futures Delta
true
false
Convexities Delta
true
false
Forwards Delta
true
false
Swaps Delta
true
false
Bonds Delta
true
false
OIS Delta
true
false
BMA Delta
true
false
FX Forwards Delta
true
false
FX Basis Delta
true
false
Tenor Basis Delta
true
false
Rates Shift
0.0001
Prices Shift
-0.1
In parent: Model[Valuation]
Delta Def
NPV Change
Ratio
Delta Shift
0
In parent: Model[Market]
ID
Modelled Market