Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
Sensitivities
| Measure | Description |
|---|
| Correlation | Correlation (input data) |
| CrossGamma | Cross-Gamma (input data) |
| Delta | Delta (input data) |
| Dividend Sensitivity | Sensitivity to the underlying dividend, equals the quantity of underlying risk factor hold multiplied by the exchange rate of local to reporting currency |
| Gamma | Gamma (input data) |
| Theta | Theta (input data) |
| Vanna | Vanna (input data) |
| Vega | Vega (input data) |
| Volga | Volga (input data) |
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) |
Previous
| 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 |
