Sensitivity Type

This is a bucketing hierarchy based on the Sensitivity hierarchy that aggregates sensitivities by type. It uses the regular expressions from the properties:

• mr.sensi.types.correlation.regex for the level member “Correlation”
• mr.sensi.types.crossgamma.regex for the level member “CrossGamma”
• mr.sensi.types.delta.regex for the level member “Delta”
• mr.sensi.types.gamma.regex for the level member “Gamma”
• mr.sensi.types.theta.regex for the level member “Theta”
• mr.sensi.types.vanna.regex for the level member “Vanna”
• mr.sensi.types.vega.regex for the level member “Vega”
• mr.sensi.types.volga.regex for the level member “Volga”
• “Other” member when it doesn’t match anything

The provided regular expression is used to match the Sensitivity hierarchy member to the right sensitivity type.