Curve market quote sensitivity


#1

Hi,

Which calculator classes should I look at for calculation of interest rate delta with respect to market quotes? Specifically I’m considering a case of building MulticurveProviderDiscount from OIS swaps, swaps vs. 3m, and swaps vs. 6m, and I would like to see the risk to each of the instrument nodes used in the curve construction.

Secondly how could I set it up to see the risk in terms of i) swaps vs. 3m ii) OIS - 3m basis swaps iii) 3m - 6m basis? Would this require building a new MulticurveProviderDiscount, using a 3m curve and basis instruments?

Thanks