Problem w/ QuantLib::bucketAnalysis() [experimental\risk\sensitivitynalysis.hpp]

Posted by T. Nicolas Steinbach on Jun 22, 2015; 5:40pm
URL: http://quantlib.414.s1.nabble.com/Problem-w-QuantLib-bucketAnalysis-experimental-risk-sensitivitynalysis-hpp-tp16675.html

I was curious if anyone had come across a similar challenge to the one we encountered.

 

We have found the bucketAnalysis functions useful, but when used to determine interest rate exposure of a swap or other fixed-income asset to a depo-future-swap bootstrapped curve, a limitation in bucketAnalysis becomes apparent.

 

Namely, as bucketAnalysis is unable to benefit from any introspection of what is being ‘shifted’, it ‘shift’s all the quotes by the same amount and in the same direction.

 

However, rate futures prices would need to be shifted in the opposite direction, and multiplied by a factor of 100. 

bucketAnalysis does not know that a future price quote needs to be treated differently from a swap rate in it’s current implementation.

 

As such, I was curious if it would be a better implementation of bucketAnalysis if it were to take  a vector<Handle<BootstrapHelper>>’s instead of a vector<Handle< SimpleQuote>>’s.

 

Has anyone come across this problem.  Does this sound like a good idea?

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