Sensitivities

Requesting

let results = pricer.evaluate(&trade, &[Request::Value, Request::Sensitivities], &ctx)?;
let sens = results.sensitivities().ok_or(/* ... */)?;
for (key, dv) in sens.instrument_keys().iter().zip(sens.exposure()) {
    println!("{key:40} {dv:12.2}");
}

Sensitivities are only available when the context and trade use DualFwd. Values are \(\partial \text{NPV} / \partial q\) for each quote \(q\) in its own units (rate quotes in absolute rate: multiply by 1e-4 for a DV01 per basis point).

SensitivityMap

pub struct SensitivityMap { instrument_key: Vec<String>, exposure: Vec<f64> }
impl SensitivityMap {
    pub fn instrument_keys(&self) -> &[String];
    pub fn exposure(&self) -> &[f64];
    pub fn with_instrument_keys(self, keys: &[String]) -> Self;
    pub fn with_exposure(self, exposure: &[f64]) -> Self;
    pub fn aggregate(self) -> Self;   // sums duplicate keys, keeps first-occurrence order
}

aggregate() is applied by the pricers: when a child curve (a basis or collateral curve) depends on a parent curve, the IFT produces contributions to the parent quotes from both curves; they are summed under one label.

What appears in the table

Quotes that do not influence the price are omitted (zero adjoint).

Portfolio aggregation

Sum maps across trades keyed by label:

let mut total: BTreeMap<String, f64> = BTreeMap::new();
for r in results {
    if let Some(s) = r.sensitivities() {
        for (k, v) in s.instrument_keys().iter().zip(s.exposure()) {
            *total.entry(k.clone()).or_default() += v;
        }
    }
}

Because all trades share the same quote leaves, the summed ladder is the exact portfolio sensitivity.

Example

cargo run -p sensitivity prices SOFR, Term SOFR, ICP and USD/CLP cross-currency swaps and prints, per trade, the NPV followed by a table of quote identifier and exposure. The Term SOFR swap shows both BasisSwap_USD_SOFR_TermSOFR3m_* and OIS_USD_SOFR_* rows; the cross-currency swap adds OIS_CLP_ICP_* and FloatFloatCrossCurrencySwap_USD_SOFR_ICP_CLP_*.

Verifying against bumps

For a check, shock a quote with a Scenario and reprice:

let base = ctx.evaluate(&trade, &[Request::Value])?.price();
let mut bumped = base_ctx.with_scenarios(vec![Scenario::new("OIS_USD_SOFR_5Y", 1e-4, ScenarioType::Absolute)]);
bumped.initialize()?;
let fd = (bumped.evaluate(&trade, &[Request::Value])?.price() - base) / 1e-4;

fd should match the OIS_USD_SOFR_5Y entry to first order.