Gamma Shift Vector Interpolated Percentile

This measure finds the value of the sorted Shift Vector located at the percentile defined by the ShiftPercentile context value.

The vector is stored on the field Values in the MarketShifts store.

The Gamma 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).*(gamma)(?<!((?:cross|x).?gamma)).*$. This pattern can be configured with the property mr.sensi.types.gamma.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.