Expand description
Interest rate risk kernel.
This module provides interest rate risk analysis for treasury:
- Duration and convexity calculation
- DV01/PV01 sensitivity measures
- Gap analysis by time buckets
Structsยง
- GapBucket
Def - Gap bucket definition.
- IRRisk
Config - Interest rate risk configuration.
- Interest
Rate Risk - Interest rate risk kernel.
- Shift
Sensitivity - Parallel shift sensitivity result.