Posted by
Ballabio Gerardo-4 on
URL: http://quantlib.414.s1.nabble.com/Sensitivity-analysis-in-QuantLibXL-tp7074.html
Hi all,
I've recently started using QuantLibXL and I'm familiarizing with it. At
this moment I'm trying to understand how to compute sensitivities and
I'd like to ask a few questions:
1. In QuantLib's source code I read that the bucketAnalysis function (in
its various incarnations) calculates and returns both Delta and Gamma
(provided that SensitivityAnalysis == Centered). However, QuantLibXL's
function qlBucketAnalysis seems to return only Delta. I expanded the
function call into a matrix of cells, each row corresponds to a quote, I
was expecting to see two columns, with the Delta on the first column and
the Gamma on the second. Instead, no matter how much I expand the
matrix, I get always the same column repeated over and over. Is that
intentional or is it a bug? If it is intentional, how can I get the
Gamma?
2. What is the Parameters argument in qlBucketAnalysisDelta and
qlBucketAnalysisDelta2? The documentation doesn't explain. Reading the
source code I see that it must be a vector of quotes. I can't make sense
of that. The first argument (SimpleQuote) is the quote which I'm
calculating the sensitivity with respect to. What are these other quotes
for? I also see that this function doesn't take instruments anywhere
among its arguments. So does it calculate the sensitivity of what?
3. What is the "BPS" (basis point sensitivity) calculated by
qlSwapLegBPS? I was supposing it must be the Delta calculated by
shifting the yield curve up and down by 1 basis point (discount curve or
forward curve or both?). But the numbers I get from it are very
different from the Delta that I computed by shifting the curve by hand.
Thank you
Gerardo
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