Diagram
| Super-types: | None |
|---|---|
| Sub-types: | None |
| Name | SensitivitySetDefinition |
|---|---|
| Abstract | no |
| Documentation | A sensitivity report definition, consisting of a collection of sensitivity definitions. |
'The name of the sensitivity set definition, e.g. \"USDLIBOR curve sensitivities\".'
'The default characteristics of the quotation, e.g. type, units, etc.'
'Reference to the valuation scenario to which this sensitivity definition applies, e.g. a reference to the EOD valuation scenario. If not supplied, this sensitivity set definition is generic to a variety of valuation scenarios.'
'The type of the pricing input to which the sensitivity is shown, e.g. a yield curve or volatility matrix.'
'A reference to the pricing input to which the sensitivity is shown, e.g. a reference to a USDLIBOR yield curve.'
'The size of the denominator, e.g. 0.0001 = 1 bp. For derivatives with respect to time, the default period is 1 day.'
'A set of sensitivity definitions. Either one per point reported, or one generic definition that applies to all points.'
'The method by which each derivative is computed, e.g. analytic, numerical model, perturbation, etc., and the corresponding parameters (eg. shift amounts).'