Risk Sensitivity

Pricing is one aspect of securities and derivatives trading. Risk is another equally, if not more, important feature. The mechanisms and API framework constructed in rateslib are, in fact, designed around, and primarily to suit, risk sensitivity calculation.

The goal is to produce accurate Delta risks, in both calibrating instrument and FX space, as well as Cross-Gamma risks, which combined will produce a reliably accurate PnL estimate of a portfolio given market movements.

Risk sensitivities are efficiently calculated through rateslib’s own automatic differentiation toolset.

• Delta Risk
• Gamma Risk