Navigation :
Default implemented MD chains
Implemented chains
| Risk Type |
spot |
eq spot |
fx spot |
curve |
surface |
cube |
| Delta |
X |
X |
X |
X |
|
|
| Gamma |
X |
X |
X |
X |
|
|
| Vega |
|
|
|
|
X |
X |
| Correlation |
X |
|
|
|
|
|
| CrossGamma.1 |
X |
X |
|
|
|
|
| CrossGamma.2 |
X |
X |
|
|
|
|
| Vanna.1 |
|
|
|
|
X |
X |
| Vanna.2 |
X |
X |
X |
X |
|
|
| Volga |
|
|
|
|
X |
X |
All interpolations are linear …
Current setup
| Risk type |
Risk name |
Risk class |
MD type |
Interpolation |
MD store |
| Delta |
* |
* |
curve |
linear |
CurveMarketData |
| Delta |
* |
Equity |
eq spot |
|
SpotMarketData |
| Delta |
* |
FX |
fx spot |
|
FxRateMarketData |
| Gamma |
* |
* |
curve |
linear |
CurveMarketData |
| Gamma |
* |
Equity |
eq spot |
|
SpotMarketData |
| Gamma |
* |
FX |
fx spot |
|
FxRateMarketData |
| Vega |
* |
* |
surface |
linear |
SurfaceMarketData |
| Vega |
* |
GIRR |
cube |
linear |
CubeMarketData |
| Correlation |
* |
* |
spot |
|
CorrelationMarketData |
| CrossGamma.1 |
* |
* |
spot |
|
SpotMarketData |
| CrossGamma.1 |
* |
Equity |
eq spot |
|
SpotMarketData |
| CrossGamma.2 |
* |
* |
spot |
|
SpotMarketData |
| CrossGamma.2 |
* |
Equity |
eq spot |
|
SpotMarketData |
| Vanna.1 |
* |
* |
surface |
linear |
SurfaceMarketData |
| Vanna.1 |
* |
GIRR |
cube |
linear |
CubeMarketData |
| Vanna.2 |
* |
* |
curve |
linear |
CurveMarketData |
| Vanna.2 |
* |
FX |
fx spot |
|
FxRateMarketData |
| Vanna.2 |
* |
Equity |
eq spot |
|
SpotMarketData |
| Volga |
* |
* |
surface |
linear |
SurfaceMarketData |
| Volga |
* |
GIRR |
cube |
linear |
CubeMarketData |
Risk type is suffixed with the MD number if more than one.
Eq Spot multiply the spot by the split on next date.