Technical notes
All Shift Vector measures share the following characteristics:- Data source: the
Valuesfield of the MarketShifts store. - RiskFactorId construction: concatenation of Risk Factors +
"/"+ Risk Factors Secondary. - Size reduction: the vector size may be reduced by the Sub PnL Vector transformation.
- SensitivityName filter: each measure filters on members of the
SensitivityNamelevel matching the regex configured via the correspondingmr.sensi.types.<greek>.regexproperty (e.g.^(?i).*correlation.*$for Correlation). - Tenors: if the market data is a curve, the Tenors hierarchy may be required.
Shift vector
| Measure | Description |
|---|---|
| Correlation Shift Vector | Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| Correlation Shift Vector Average | Average of the Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| Correlation Shift Vector Percentile | Percentile of the Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| Correlation Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| Correlation Shift Vector Maximum | Maximum of the Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| Correlation Shift Vector Minimum | Minimum of the Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| CrossGamma Shift Vector | First Market Shift vector used by the Cross-Gamma sensitivity, not interpolated, not normalized |
| CrossGamma Shift Vector Average | Average of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized |
| CrossGamma Shift Vector Percentile | Percentile of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized |
| CrossGamma Shift Vector StdDev | Standard deviation of the first Market Shift vector used by the Cross-Gamma sensitivity, not interpolated, not normalized |
| CrossGamma Shift Vector Maximum | Maximum of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized |
| CrossGamma Shift Vector Minimum | Minimum of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized |
| Delta Shift Vector | Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Delta Shift Vector Average | Average of the Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Delta Shift Vector Percentile | Percentile of the Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Delta Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Delta Shift Vector Maximum | Maximum of the Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Delta Shift Vector Minimum | Minimum of the Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Gamma Shift Vector | Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Gamma Shift Vector Average | Average of the Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Gamma Shift Vector Percentile | Percentile of the Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Gamma Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Gamma Shift Vector Maximum | Maximum of the Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Gamma Shift Vector Minimum | Minimum of the Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Vanna Shift Vector | Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Vanna Shift Vector Average | Average of the Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Vanna Shift Vector Percentile | Percentile of the Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Vanna Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Vanna Shift Vector Maximum | Maximum of the Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Vanna Shift Vector Minimum | Minimum of the Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Vega Shift Vector | Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Vega Shift Vector Average | Average of the Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Vega Shift Vector Percentile | Percentile of the Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Vega Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Vega Shift Vector Maximum | Maximum of the Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Vega Shift Vector Minimum | Minimum of the Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Volga Shift Vector | Market Shift vector used by the Volga sensitivity, not interpolated, not normalized |
| Volga Shift Vector Average | Average of the Market Shift vector used by the Volga sensitivity, not interpolated, not normalized |
| Volga Shift Vector Percentile | Percentile of the Market Shift vector used by the Volga sensitivity, not interpolated, not normalized |
| Volga Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Volga sensitivity, not interpolated, not normalized |
| Volga Shift Vector Maximum | Maximum of the Market Shift vector used by the Volga sensitivity, not interpolated, not normalized |
| Volga Shift Vector Minimum | Minimum of the Market Shift vector used by the Volga sensitivity, not interpolated, not normalized |
Shift vector normalized
| Measure | Description |
|---|---|
| Correlation Shift Vector Normalized | Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| Correlation Shift Vector Normalized Average | Average of the Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| Correlation Shift Vector Normalized Percentile | Percentile of the Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| Correlation Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| Correlation Shift Vector Normalized Maximum | Maximum of the Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| Correlation Shift Vector Normalized Minimum | Minimum of the Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| CrossGamma Shift Vector Normalized | First Market Shift vector used by the Cross-Gamma sensitivity, not interpolated, normalized |
| CrossGamma Shift Vector Normalized Average | Average of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized |
| CrossGamma Shift Vector Normalized Percentile | Percentile of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized |
| CrossGamma Shift Vector Normalized StdDev | Standard deviation of the first Market Shift vector used by the Cross-Gamma sensitivity, not interpolated, normalized |
| CrossGamma Shift Vector Normalized Maximum | Maximum of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized |
| CrossGamma Shift Vector Normalized Minimum | Minimum of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized |
| Delta Shift Vector Normalized | Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Delta Shift Vector Normalized Average | Average of the Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Delta Shift Vector Normalized Percentile | Percentile of the Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Delta Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Delta Shift Vector Normalized Maximum | Maximum of the Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Delta Shift Vector Normalized Minimum | Minimum of the Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Gamma Shift Vector Normalized | Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Gamma Shift Vector Normalized Average | Average of the Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Gamma Shift Vector Normalized Percentile | Percentile of the Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Gamma Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Gamma Shift Vector Normalized Maximum | Maximum of the Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Gamma Shift Vector Normalized Minimum | Minimum of the Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Vanna Shift Vector Normalized | Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Vanna Shift Vector Normalized Average | Average of the Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Vanna Shift Vector Normalized Percentile | Percentile of the Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Vanna Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Vanna Shift Vector Normalized Maximum | Maximum of the Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Vanna Shift Vector Normalized Minimum | Minimum of the Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Vega Shift Vector Normalized | Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Vega Shift Vector Normalized Average | Average of the Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Vega Shift Vector Normalized Percentile | Percentile of the Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Vega Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Vega Shift Vector Normalized Maximum | Maximum of the Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Vega Shift Vector Normalized Minimum | Minimum of the Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Volga Shift Vector Normalized | Market Shift vector used by the Volga sensitivity, not interpolated, normalized |
| Volga Shift Vector Normalized Average | Average of the Market Shift vector used by the Volga sensitivity, not interpolated, normalized |
| Volga Shift Vector Normalized Percentile | Percentile of the Market Shift vector used by the Volga sensitivity, not interpolated, normalized |
| Volga Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Volga sensitivity, not interpolated, normalized |
| Volga Shift Vector Normalized Maximum | Maximum of the Market Shift vector used by the Volga sensitivity, not interpolated, normalized |
| Volga Shift Vector Normalized Minimum | Minimum of the Market Shift vector used by the Volga sensitivity, not interpolated, normalized |
Shift vector interpolated
| Measure | Description |
|---|---|
| Correlation Shift Vector Interpolated | Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| Correlation Shift Vector Interpolated Average | Average of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| Correlation Shift Vector Interpolated Percentile | Percentile of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| Correlation Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| Correlation Shift Vector Interpolated Maximum | Maximum of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| Correlation Shift Vector Interpolated Minimum | Minimum of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| CrossGamma Shift Vector Interpolated | First Market Shift vector used by the Cross-Gamma sensitivity, interpolated, not normalized |
| CrossGamma Shift Vector Interpolated Average | Average of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized |
| CrossGamma Shift Vector Interpolated Percentile | Percentile of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized |
| CrossGamma Shift Vector Interpolated StdDev | Standard deviation of the first Market Shift vector used by the Cross-Gamma sensitivity, interpolated, not normalized |
| CrossGamma Shift Vector Interpolated Maximum | Maximum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized |
| CrossGamma Shift Vector Interpolated Minimum | Minimum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized |
| Delta Shift Vector Interpolated | Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Delta Shift Vector Interpolated Average | Average of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Delta Shift Vector Interpolated Percentile | Percentile of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Delta Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Delta Shift Vector Interpolated Maximum | Maximum of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Delta Shift Vector Interpolated Minimum | Minimum of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Gamma Shift Vector Interpolated | Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Gamma Shift Vector Interpolated Average | Average of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Gamma Shift Vector Interpolated Percentile | Percentile of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Gamma Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Gamma Shift Vector Interpolated Maximum | Maximum of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Gamma Shift Vector Interpolated Minimum | Minimum of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Vanna Shift Vector Interpolated | Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Vanna Shift Vector Interpolated Average | Average of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Vanna Shift Vector Interpolated Percentile | Percentile of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Vanna Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Vanna Shift Vector Interpolated Maximum | Maximum of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Vanna Shift Vector Interpolated Minimum | Minimum of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Vega Shift Vector Interpolated | Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Vega Shift Vector Interpolated Average | Average of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Vega Shift Vector Interpolated Percentile | Percentile of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Vega Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Vega Shift Vector Interpolated Maximum | Maximum of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Vega Shift Vector Interpolated Minimum | Minimum of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Volga Shift Vector Interpolated | Market Shift vector used by the Volga sensitivity, interpolated, not normalized |
| Volga Shift Vector Interpolated Average | Average of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized |
| Volga Shift Vector Interpolated Percentile | Percentile of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized |
| Volga Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized |
| Volga Shift Vector Interpolated Maximum | Maximum of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized |
| Volga Shift Vector Interpolated Minimum | Minimum of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized |
Shift vector interpolated normalized
| Measure | Description |
|---|---|
| Correlation Shift Vector Interpolated Normalized | Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| Correlation Shift Vector Interpolated Normalized Average | Average of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| Correlation Shift Vector Interpolated Normalized Percentile | Percentile of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| Correlation Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| Correlation Shift Vector Interpolated Normalized Maximum | Maximum of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| Correlation Shift Vector Interpolated Normalized Minimum | Minimum of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| CrossGamma Shift Vector Interpolated Normalized | First Market Shift vector used by the Cross-Gamma sensitivity, interpolated, normalized |
| CrossGamma Shift Vector Interpolated Normalized Average | Average of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized |
| CrossGamma Shift Vector Interpolated Normalized Percentile | Percentile of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized |
| CrossGamma Shift Vector Interpolated Normalized StdDev | Standard deviation of the first Market Shift vector used by the Cross-Gamma sensitivity, interpolated, normalized |
| CrossGamma Shift Vector Interpolated Normalized Maximum | Maximum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized |
| CrossGamma Shift Vector Interpolated Normalized Minimum | Minimum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized |
| Delta Shift Vector Interpolated Normalized | Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Delta Shift Vector Interpolated Normalized Average | Average of the Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Delta Shift Vector Interpolated Normalized Percentile | Percentile of the Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Delta Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Delta Shift Vector Interpolated Normalized Maximum | Maximum of the Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Delta Shift Vector Interpolated Normalized Minimum | Minimum of the Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Gamma Shift Vector Interpolated Normalized | Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Gamma Shift Vector Interpolated Normalized Average | Average of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Gamma Shift Vector Interpolated Normalized Percentile | Percentile of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Gamma Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Gamma Shift Vector Interpolated Normalized Maximum | Maximum of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Gamma Shift Vector Interpolated Normalized Minimum | Minimum of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Vanna Shift Vector Interpolated Normalized | Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Vanna Shift Vector Interpolated Normalized Average | Average of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Vanna Shift Vector Interpolated Normalized Percentile | Percentile of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Vanna Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Vanna Shift Vector Interpolated Normalized Maximum | Maximum of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Vanna Shift Vector Interpolated Normalized Minimum | Minimum of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Vega Shift Vector Interpolated Normalized | Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Vega Shift Vector Interpolated Normalized Average | Average of the Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Vega Shift Vector Interpolated Normalized Percentile | Percentile of the Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Vega Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Vega Shift Vector Interpolated Normalized Maximum | Maximum of the Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Vega Shift Vector Interpolated Normalized Minimum | Minimum of the Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Volga Shift Vector Interpolated Normalized | Market Shift vector used by the Volga sensitivity, interpolated, normalized |
| Volga Shift Vector Interpolated Normalized Average | Average of the Market Shift vector used by the Volga sensitivity, interpolated, normalized |
| Volga Shift Vector Interpolated Normalized Percentile | Percentile of the Market Shift vector used by the Volga sensitivity, interpolated, normalized |
| Volga Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Volga sensitivity, interpolated, normalized |
| Volga Shift Vector Interpolated Normalized Maximum | Maximum of the Market Shift vector used by the Volga sensitivity, interpolated, normalized |
| Volga Shift Vector Interpolated Normalized Minimum | Minimum of the Market Shift vector used by the Volga sensitivity, interpolated, normalized |