Regridding

Regulatory vertices and interpolation

If tenor dates provided in the sensitivities input data do not match the regulatory vertices (for example, if the risk engine produced more granular sensitivities for the hedge instruments), the Solution allocates the sensitivities to tenors defined in [MAR50] using linear interpolation. The resulting tenors can be displayed using this hierarchy: [Vertices].[Vertices].

See also

• Delta sensitivities of Hedges
• Delta sensitivities of the Regulatory CVA
• Regulatory vertices
• [Vertices].[Vertices]