Delta Shift Vector Interpolated Normalized

This measure expands the Delta Shift Vector to the Scenarios hierarchy. The vector is stored on the field Values in the MarketShifts store.

The Delta Shift Vector size may be reduced by the Sub PnL Vector transformation.

It is filtered using the members of the level SensitivityName, from the Sensitivity hierarchy, that must match the pattern ^(?i).*(?:delta|dividends|repo margin).*$. This pattern can be configured with the property mr.sensi.types.delta.regex.

If the market data is a curve, the Tenors hierarchy may be required. If the Tenors doesn’t fit exactly the Tenor field of the MarketShifts store, the value is computed with a linear interpolation. The method IInterpolationConfiguration::normalizationShiftOperator is called to eventually adapt the Shift Vector to the sensitivity value.