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Sensitivities

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Sensitivity Type

Sensitivity Type is a bucketing hierarchy based on the Sensitivity hierarchy that aggregates sensitivities by type. It uses the following regular expression properties to assign each sensitivity to its type member:
  • mr.sensi.types.correlation.regex → “Correlation”
  • mr.sensi.types.crossgamma.regex → “CrossGamma”
  • mr.sensi.types.delta.regex → “Delta”
  • mr.sensi.types.gamma.regex → “Gamma”
  • mr.sensi.types.theta.regex → “Theta”
  • mr.sensi.types.vanna.regex → “Vanna”
  • mr.sensi.types.vega.regex → “Vega”
  • mr.sensi.types.volga.regex → “Volga”
Sensitivities that do not match any of the above expressions fall into the “Other” member.