Timebased sensitivities


#1

Hi,
I am struggeling how to solve this. The bucketed PV01 is understandable and a natural choice. However in applications here the sensitivites each year is calculated, Could you give some guidance on how to calculate time sensitivities? My first guess is to use the UnitParameterSensitivity class, but i am unsure.

thanks,
Oyvind


#2

Reply to myself:slightly_smiling_face:
What I wanted was the PointSensitivities (senstitivities at dates at which cashflows occurs). Those are readily available in the output.

Oyvind


#3

Glad you found the answer :smile: