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 futures or bond prices involved, those are shifted by the amount entered in Prices Shift.
Optionally the entries in Convexities Delta and Convexities Shift determine if and how the futures convexity correction values are also shifted.