Module ladder 

Spot risk ladders: the desk risk slide.

Point Greeks are a local Taylor expansion — valid near today’s spot and silent about what gamma does three percent away, which is exactly where barrier products (knock-outs, autocallables, geared accumulators) hide their risk. A ladder completes the picture by full revaluation at a grid of spot levels: per rung, the book’s MtM and P&L, with ladder delta and gamma read off adjacent rungs by (unevenly spaced) central differences — the non-local versions of delta/gamma that a desk trusts where speed and higher-order Greeks get noisy.

Mechanically a ladder is a parametric family of relative spot Shocks applied through the pricing context: snapshot once (EquityPortfolio::snapshot_market), bump per rung (Market::bumped), revalue every position on its own engine. Monte Carlo positions keep their seed through the rebind, so rung-to-rung differences are free of sampling noise (common random numbers).

Structs

LadderPoint

One rung of the ladder.

SpotLadder

A spot ladder over one book: base MtM plus one LadderPoint per requested move, in ascending move order.

VolLadder

A vol ladder over one book: the vega profile across parallel shifts of the implied surface — the non-local view of vega/volga, as spot_ladder is for delta/gamma.

VolLadderPoint

One rung of a vol_ladder.

Functions

spot_ladder

Revalue book at every relative spot move in moves (strictly increasing, each above -100%) and read ladder delta/gamma off the rungs. Errors on an empty book, an invalid grid, or a position the snapshot cannot reprice.

symmetric_moves

A symmetric uniform move grid: rungs_per_side rungs each side of zero in steps of step, zero included — e.g. (0.05, 4) gives [-0.20, -0.15, ..., 0.20].

vol_ladder

Revalue book under parallel absolute vol-point shifts of every implied surface (strictly increasing shifts, e.g. -0.10..=0.10) and read ladder vega/volga off the rungs. A shift that drives any vol non-positive surfaces as the surface’s own bump error. Errors on an empty book or an invalid grid.