Is there a canonical method to shift market curves in strata? If so, what is the recommened practice?
Does strata offers way to shift (say parallel shift) both the yield curve and the bootstrapped curve? Or just one of these?
If one would like to compute say DV01s, for a bond, does starta offer a built in method to compute that? If so, when computing the DV01, does Strata shifts the swap curve or does it shift the resulting zero curve after bootstrapping? Is there any special treatment when shifting the yield curve when it contains futures rates in between?
If using the Calc-level API - CalculationRunner - then you can pass in a ScenarioDefinition to specify shifting/bumping. This documentation helps explain it. Any curve in the market data may be targetted - such as the discounting or forward curve.
For calculating PV01, the API has dedicated methods, with names such as presentValueSensitivity(). These use Adjoint Algorithmic Differentiation rather than “bump and reprice”. We’d recommend reading the documentation of each method and asking for clarification if they are unclear, such as this for fixed coupon bonds.