Module presets 

The risk measures a desk names, declared once.

A Measure is a point in a product space — an axis, a basis, an aggregation, a scale — and most of that space is reachable but unnamed. A Preset names the points a desk asks for by name (DV01, PAR_LADDER, CS01), files each under the asset class its axis belongs to, and carries the scale that name is conventionally quoted in.

The table below is the vocabulary. The constants, Preset::ALL and the accepted spellings a rejection lists are all generated from it, so none of them can list a preset the others do not.

Macros

presets 🔒

Declares the table: one constant per preset, and from the same list Preset::ALL and Preset::ACCEPTED.

Structs

Preset

A named risk measure: the point it names, and the scale it reports in when asked for by name.

Enums

How

How a catalogued measure is computed.

Constants

CORRELATION

Base-correlation delta per point, per correlation point.

CORRELATION_BUMPED

Base-correlation sensitivity by central difference per skew.

CREDIT_VEGA

CDS option vega, one number, per vol point.

CREDIT_VEGA_LADDER

CDS option vega per credit vol node.

CS01

Credit delta at the hazard basis, one number.

CS01_BUCKETED

Credit delta by tenor bucket.

CS01_BY_CURVE

Credit delta by entity curve.

DV01

Rate delta at the curve-node basis, one number, per basis point.

DV01_BUCKETED

Rate delta by tenor bucket.

DV01_BY_CURVE

Rate delta by curve — discount separable from projection.

DV01_LADDER

Rate delta per curve pillar.

EQUITY_DELTA

Equity delta per quoted spot, per unit of price.

EQUITY_VEGA

Equity vega, summed over the vol nodes, per vol point.

FUTURE_DELTA

Futures delta per quoted listed future, per price point — the underlying exposure of an option on a bond future.

FX_DELTA

FX delta per spot, per unit of spot. Not per percent: the derivative is against the spot’s absolute level.

FX_VEGA

FX vega, one number, per vol point.

FX_VEGA_LADDER

FX vega per vol node.

INF01

Inflation delta against the calibrating swaps’ breakevens, one number. Par, because at the node basis the inputs are undated index levels.

INF01_BUCKETED

Inflation delta by tenor bucket of the calibrating swaps.

INF01_LADDER

Inflation delta per calibrating swap.

INFLATION_VEGA

Inflation vega, one number, per basis point of vol — the rate vega’s scale, and a YoY surface’s normal convention.

INFLATION_VEGA_LADDER

Inflation vega per vol node.

MARKET_VEGA

Vega per quoted swaption through a Hull-White fit.

NPV

Present value.

PAR_CS01_LADDER

Credit delta per calibrating CDS.

PAR_DV01

Rate delta against the calibrating instruments’ quotes, one number.

PAR_LADDER

Rate delta per calibrating instrument — the ladder a desk hedges from.

RECOVERY01

Recovery delta per entity, per recovery point, the survival curve held.

RECOVERY_BUMPED

Recovery sensitivity by central difference, the survival curve held.

RECOVERY_QUOTE_HELD

Recovery sensitivity by central difference, the CDS quotes held.

REPO01

Repo-curve delta.

SPREAD01

A bond’s delta to its own spread over its benchmark.

VEGA

Rate vega, one number, per basis point of (normal) vol.

VEGA_LADDER

Rate vega per vol node.

VEGA_PAR

Rate vega against the grid quotes a SABR surface was fitted to, one number.

VEGA_PAR_LADDER

Rate vega per grid quote a SABR surface was fitted to.

Functions

catalogue_records

Presets as records: name, class, measure, scale, how, requires — the catalogue a caller browses, and what Book::available_measures answers with.

delta 🔒