Loading...
Home / Sensitivities with multiple bumps

Home Forums Getting Started Sensitivities with multiple bumps

This topic contains 0 replies, has 1 voice, and was last updated by  coling 1 week, 1 day ago.

Viewing 1 post (of 1 total)
  • Author
    Posts
  • #6634

    coling
    Participant

    We’re doing something that involves getting some sensitivities, and we’re interested in bumping multiple quotes simultaneously to keep basis constant (for example, bumping Libor 3M, Fedfunds and Libor 1M cash quotes simultaneously by 1bp in one sensitivity scenario, and then getting basis spread sensitivity after that in separate scenarios).

    What’s the best way to do this in ORE? It looks like the actual “sensitivity” file is set up to bump each quote and tenor individually? (Can parallel bumps be done via the sensitivity config?) Can the cross-gamma functionality be leveraged with 3+ quotes? Is the “stress test” functionality a better way to do this?

    Thanks!
    – Colin

Viewing 1 post (of 1 total)

You must be logged in to reply to this topic.