Sensitivities

All sensitivities are expressed in the display currency via FX conversion of the native input. The sensitivity currency is expressed by the Currencies hierarchy.

Measure	Description	Formula	Re-bucketing
Correlation	Correlation in the display currency. Correlation Native is FX-converted from the sensitivity currency.	$\text{Correlation}=\text{Correlation Native}\cdot\text{FX}_\text{Ccy}$	Curve: DynamicTenors
CrossGamma	Cross-Gamma in the display currency. CrossGamma Native is FX-converted from the sensitivity currency.	$\text{CrossGamma}=\text{CrossGamma Native}\cdot\text{FX}_\text{Ccy}$	Cannot be re-bucketed
Delta	Delta in the display currency. Delta Native is FX-converted from the sensitivity currency.	$\text{Delta}=\text{Delta Native}\cdot\text{FX}_\text{Ccy}$	Curve: DynamicTenors
Dividend Sensitivity	Quantity of underlying risk factor held, multiplied by the local-to-reporting FX rate. Derived from Dividend Quantity; multiplied by Dividend Current gives the dividend payment in display currency.	$\text{Dividend Sensitivity}=\text{Dividend Quantity}\cdot\text{FX}_\text{Ccy}$	N/A
Gamma	Gamma in the display currency. Gamma Native is FX-converted from the sensitivity currency.	$\text{Gamma}=\text{Gamma Native}\cdot\text{FX}_\text{Ccy}$	Curve: DynamicTenors
Theta	Theta in the display currency. Theta Native is FX-converted from the sensitivity currency.	$\text{Theta}=\text{Theta Native}\cdot\text{FX}_\text{Ccy}$	N/A
Vanna	Vanna in the display currency. Vanna Native is FX-converted from the sensitivity currency.	$\text{Vanna}=\text{Vanna Native}\cdot\text{FX}_\text{Ccy}$	Spot/curve/map/cube: DynamicTenors, DynamicMaturities, DynamicMoneyness
Vega	Vega in the display currency. Vega Native is FX-converted from the sensitivity currency.	$\text{Vega}=\text{Vega Native}\cdot\text{FX}_\text{Ccy}$	Spot/curve/map/cube: DynamicTenors, DynamicMaturities, DynamicMoneyness
Volga	Volga in the display currency. Volga Native is FX-converted from the sensitivity currency.	$\text{Volga}=\text{Volga Native}\cdot\text{FX}_\text{Ccy}$	Spot/curve/map/cube: DynamicTenors, DynamicMaturities, DynamicMoneyness

DtD

Measure	Description
Correlation DtD	Change of correlation from one day to another. By default DtD.
CrossGamma DtD	Change of cross-gamma from one day to another. By default DtD.
Delta DtD	Change of delta from one day to another. By default DtD.
Dividend Sensitivity DtD	Sensitivity to the underlying dividend from one day to another. By default DtD.
Gamma DtD	Change of Gamma from one day to another. By default DtD.
Theta DtD	Change of theta from one day to another. By default DtD.
Vanna DtD	Change of Vanna from one day to another. By default DtD.
Vega DtD	Change of Vega from one day to another. By default DtD.
Volga DtD	Change of Volga from one day to another. By default DtD.

DtD % difference

Measure	Description
Correlation DtD % Difference	Percentage change of correlation from one day to another. By default DtD.
CrossGamma DtD % Difference	Percentage change of cross-gamma from one day to another. By default DtD.
Delta DtD % Difference	Percentage change of delta from one day to another. By default DtD.
Dividend Sensitivity DtD % Difference	Percentage change in sensitivity to the underlying dividend from one day to another. By default DtD.
Gamma DtD % Difference	Percentage change of Gamma from one day to another. By default DtD.
Theta DtD % Difference	Percentage change of theta from one day to another. By default DtD.
Vanna DtD % Difference	Percentage change of Vanna from one day to another. By default DtD.
Vega DtD % Difference	Percentage change of Vega from one day to another. By default DtD.
Volga DtD % Difference	Percentage change of Volga from one day to another. By default DtD.

Ladder

Measure	Description
Correlation Ladder	Correlation ladder (input data)
CrossGamma Ladder	Cross-Gamma ladder (input data)
Delta Ladder	Delta ladder (input data)
Gamma Ladder	Gamma ladder (input data)
Theta Ladder	Theta ladder (input data)
Vanna Ladder	Vanna ladder (input data)
Vega Ladder	Vega ladder (input data)
Volga Ladder	Volga ladder (input data)

Ladder previous

Measure	Description
Correlation Ladder Previous	Correlation ladder for the previous day (input data)
CrossGamma Ladder Previous	Cross-Gamma ladder for the previous day (input data)
Delta Ladder Previous	Delta ladder for the previous day (input data)
Gamma Ladder Previous	Gamma ladder for the previous day (input data)
Theta Ladder Previous	Theta ladder for the previous day (input data)
Vanna Ladder Previous	Vanna ladder for the previous day (input data)
Vega Ladder Previous	Vega ladder for the previous day (input data)
Volga Ladder Previous	Volga ladder for the previous day (input data)

Measure	Description
Correlation Previous	Correlation as of previous day
CrossGamma Previous	Cross-Gamma as of previous day
Delta Previous	Delta as of previous day
Dividend Sensitivity Previous	Sensitivity to the underlying dividend as of previous day
Gamma Previous	Gamma as of previous day
Theta Previous	Theta as of previous day
Vanna Previous	Vanna as of previous date
Vega Previous	Vega as of previous date
Volga Previous	Volga as of previous date

With % difference

All measures in this section output a string.

Measure	Description
Correlation with % Difference	Correlation with percentage difference in brackets. Note: This measure outputs a string.
CrossGamma with % Difference	Cross-Gamma with percentage difference in brackets. Note: This measure outputs a string.
Delta with % Difference	Delta with percentage difference in brackets. Note: This measure outputs a string.
Dividend Sensitivity with % Difference	Sensitivity to the underlying dividend with percentage difference in brackets. Note: This measure outputs a string.
Gamma with % Difference	Gamma with percentage difference in brackets. Note: This measure outputs a string.
Theta with % Difference	Theta with percentage difference in brackets. Note: This measure outputs a string.
Vanna with % Difference	Vanna with percentage difference in brackets. Note: This measure outputs a string.
Vega with % Difference	Vega with percentage difference in brackets. Note: This measure outputs a string.
Volga with % Difference	Volga with percentage difference in brackets. Note: This measure outputs a string.

Native CCY

NativeCurrency

Measure	Description	Required hierarchies
Correlation Native	Correlation in units of original currency	Currencies
CrossGamma Native	Cross-Gamma in units of original currency	Currencies
Delta Native	Delta in units of original currency	Currencies
Dividend Quantity	Quantity of underlying hold eligible for dividend, it may be the same as delta equity or bond	Currencies
Gamma Native	Gamma in units of original currency	Currencies
Theta Native	Theta in units of original currency	Currencies
Vanna Native	Vanna in units of original currency	Currencies
Vega Native	Vega in units of original currency	Currencies
Volga Native	Volga (input data in the units of original currency	Currencies

DtD (native CCY)

NativeCurrency

Measure	Description	Required hierarchies
Correlation Native DtD	Change of correlation in units of original currency from one day to another. By default DtD.	Currencies
CrossGamma Native DtD	Change of cross-gamma in units of original currency from one day to another. By default DtD.	Currencies
Delta Native DtD	Change of delta in units of original currency from one day to another. By default DtD.	Currencies
Dividend Quantity DtD	Quantity of underlying hold eligible for dividend from one day to another. By default DtD.	Currencies
Gamma Native DtD	Change of Gamma in units of original currency from one day to another. By default DtD.	Currencies
Theta Native DtD	Change of theta in units of original currency from one day to another. By default DtD.	Currencies
Vanna Native DtD	Change of Vanna Native from one day to another. By default DtD.	Currencies
Vega Native DtD	Change of Vega in units of original currency from one day to another. By default DtD.	Currencies
Volga Native DtD	Change of Volga Native from one day to another. By default DtD.	Currencies

DtD % difference (native CCY)

NativeCurrency

Measure	Description	Required hierarchies
Correlation Native DtD % Difference	Percentage change of correlation in units of original currency from one day to another. By default DtD.	Currencies
CrossGamma Native DtD % Difference	Percentage change of cross-gamma in units of original currency from one day to another. By default DtD.	Currencies
Delta Native DtD % Difference	Percentage change of delta in units of original currency from one day to another. By default DtD.	Currencies
Dividend Quantity DtD % Difference	Percentage change in quantity of underlying hold eligible for dividend from one day to another. By default DtD.	Currencies
Gamma Native DtD % Difference	Percentage change of Gamma in units of original currency from one day to another. By default DtD.	Currencies
Theta Native DtD % Difference	Percentage change of theta in units of original currency from one day to another. By default DtD.	Currencies
Vanna Native DtD % Difference	Percentage change of Vanna Native from one day to another. By default DtD.	Currencies
Vega Native DtD % Difference	Percentage change of Vega in units of original currency from one day to another. By default DtD.	Currencies
Volga Native DtD % Difference	Percentage change of Volga Native from one day to another. By default DtD.	Currencies

Previous (native CCY)

NativeCurrency

Measure	Description	Required hierarchies
Correlation Native Previous	Correlation in units of original currency as of previous day	Currencies
CrossGamma Native Previous	Cross-Gamma in units of original currency as of previous day	Currencies
Delta Native Previous	Delta in units of original currency as of previous day	Currencies
Dividend Quantity Previous	Quantity of underlying hold eligible for dividend, as of previous day. It may be the same as delta equity or bond	Currencies
Gamma Native Previous	Gamma in units of original currency as of previous day	Currencies
Theta Native Previous	Theta in units of original currency as of previous day	Currencies
Vanna Native Previous	Vanna as of previous day in units of original currency	Currencies
Vega Native Previous	Vega in units of original currency as of previous day	Currencies
Volga Native Previous	Volga as of previous day in units of original currency	Currencies

With % difference (native CCY)

NativeCurrency

All measures in this section output a string.

Measure	Description	Required hierarchies
Correlation Native with % Difference	Correlation in units of original currency with percentage difference in brackets. Note: This measure outputs a string.	Currencies
CrossGamma Native with % Difference	Cross-Gamma in units of original currency with percentage difference in brackets. Note: This measure outputs a string.	Currencies
Delta Native with % Difference	Delta in units of original currency with percentage difference in brackets. Note: This measure outputs a string.	Currencies
Dividend Quantity with % Difference	Percentage change in quantity of underlying hold eligible for dividend from one day to another with percentage difference in brackets. Note: This measure outputs a string.	Currencies
Gamma Native with % Difference	Gamma in units of original currency with percentage difference in brackets. Note: This measure outputs a string.	Currencies
Theta Native with % Difference	Theta in units of original currency with percentage difference in brackets. Note: This measure outputs a string.	Currencies
Vanna Native with % Difference	Vanna Native with percentage difference in brackets. Note: This measure outputs a string.	Currencies
Vega Native with % Difference	Vega in units of original currency with percentage difference in brackets. Note: This measure outputs a string.	Currencies
Volga Native with % Difference	Volga Native with percentage difference in brackets. Note: This measure outputs a string.	Currencies

​Sensitivities

​DtD

​DtD % difference

​Ladder

​Ladder previous

​Previous

​With % difference

​Native CCY

​DtD (native CCY)

​DtD % difference (native CCY)

​Previous (native CCY)

​With % difference (native CCY)

Sensitivities

DtD

DtD % difference

Ladder

Ladder previous

Previous

With % difference

Native CCY

DtD (native CCY)

DtD % difference (native CCY)

Previous (native CCY)

With % difference (native CCY)