Yld Crv Risk Model


"Yld Crv Risk Model" is a special type of Model
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with functions Yld Crv Risk Model Functions, keys Yld Crv Risk Model keys and example object YCRskMdl

TYPE INCLUSION RELATIONSHIPS

Model Yield Curve

Yld Crv Risk Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

BMA Delta

Bonds Delta

Convexities Delta

Convexities Shift

DF Delta

Delta Mode

Deposits Delta

FX Basis Delta

FX Forwards Delta

Forwards Delta

Futures Delta

Jumps Delta

OIS Delta

Prices Shift

Rates Shift

Swaps Delta

Tenor Basis Delta

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TYPICAL OBJECTS OF TYPE Yld Crv Risk Model

YCRskMdl

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This type represents modelling assumptions relating to the type Yld Crv Risk Model that may be needed during some valuation algorithm.
In particular, it supplies the shift sizes of the various market data involved in delta sensitivity calculations.
All that is required, is the presence of a "Yld Crv Risk Model" object in the input model collection of the valuation routine.
Specifically, the Delta Mode entry determines how the market data must be shifted.
The Delta Shift entry defines the shift amount.
Exceptionally the futures prices, being "prices" rather than "rates", are shifted downwards by 100·δ, where δ is the entry in Delta Shift

Note that only one object of the type here should be supplied as input in any pricing context!