Delta on SWAP position is not calculated


#1

Hello,

I am new to OpenGamma, we are using OpenGamma v2.1.0. We have setup new portfolio with single Swap trade, it’s configuration page looks like https://www.dropbox.com/s/vwpvzm8u2vxwng9/2013-11-05_1130.png

We have view for this portfolio with two columns presenValue and Delta. But by some reason on analytics page Delta column is always empty. Should not it have some value? Does it require some more configurations?

Thanks,
Andriy


#2

Hi Andriy,

Good to hear that you are starting to use OpenGamma.

Usually for swaps we recommend people looking at “DV01” or “Yield Curve Node Sensitivities”. Because we are a multi curve system, you need to specify which curve you want to calculate the sensitivity to. This is done by adding a constraint on the column for example Curve = Forward6M

Joan