Loading...
Home / ISDA SIMM sensitivities

Home Forums General ISDA SIMM sensitivities

Tagged: 

This topic contains 1 reply, has 2 voices, and was last updated by  Roland Lichters 2 months, 2 weeks ago.

Viewing 2 posts - 1 through 2 (of 2 total)
  • Author
    Posts
  • #6697

    suhasghorp
    Participant

    Very glad to see the 4th release of ORE.
    Is there a way to compute ISDA specified sensitivities needed for SIMM calculations in ORE?
    If there is a way, which product classes are supported and which ones are not?
    Are there any examples I can look at?
    Thank you.

    #6698

    Roland Lichters
    Keymaster

    Hi Suhas,

    yes and no. You can generate the “raw” sensitivities (bumping zero rates, hazard rates, optionlet vols etc.) in ORE with the ISDA required bucket structure.
    But then you need to convert these into par sensitivities (Swap rates, CDS Spreads, flat Cap vols etc.). This does not work out of the box by means of configuring ORE. We have developed an additional converter that builds the Jacobi matrix and does the transformation. Or you take another approach bumping input market quotes and run ORE repeatedly, but this is inefficient unless you do some development in ORE.
    So in both cases, you need to do some development to produce a CRIF.
    I hope that helps.

    Regards,
    Roland

Viewing 2 posts - 1 through 2 (of 2 total)

You must be logged in to reply to this topic.