Process Joey O'Brien's ORE sensitivity analysis post
Table of Contents
This page is a capture in the inbox bucket of the product backlog — a pre-sprint idea, not yet pulled into a sprint as a story.
1. What
Work through Joey O'Brien's blog post "Sensitivity Analysis in ORE"
(https://obrienjoey.github.io/post/ore_sensitivity) and distil it
into the knowledge base. The post walks the full sensitivity pipeline
end to end on a single teaching trade (a 20-year EUR-ESTER OIS,
10M notional): the zero-domain config (simulation.xml 10-tenor grid,
sensitivity.xml absolute 1bp shifts on DiscountCurve/EUR and
IndexCurve/EUR-ESTER), reading sensitivity.csv zero deltas, adding a
ParConversion block (OIS/IRS/DEP/FRA/TBS/XBS/FXF instruments,
SingleCurve=true) that produces =parsensitivity.csv plus
jacobi.csv=/=jacobi_inverse.csv, the Jacobian change of basis
(\(\nabla_z V = J^T \nabla_c V\), inverted as \((J^{-1})^T\)), and
verification: bumping the actual 15Y OIS market quote ±1bp and
re-bootstrapping gives −7,195.31 by central difference vs −7,147.46
by the Jacobian par delta (0.67% gap, linearisation vs full
non-linear recalibration). The takeaway: par conversion is accurate
enough for hedge instructions, VaR and stress testing, and it is
built only from ORE's own MarketRisk examples. Relevant to ORE
Studio's sensitivity reporting support.
2. Why
ORE Studio does not yet expose sensitivity analysis; this post is a complete, verifiable worked example (config files, output tables, mathematics, independent verification) that would anchor a knowledge page and inform the product design. It is one of a series of ORE posts by the same author that are best processed together.
3. References
- https://obrienjoey.github.io/post/ore_sensitivity — the post.
- Related posts by the same author, to process in one go:
- https://obrienjoey.github.io/post/ore_sofr_bootstrap/ — bootstrapping a SOFR curve in ORE (already referenced by the IR curve bootstrapping + official curve republish story).
- https://obrienjoey.github.io/post/ore_model_validation/ — validating derivative pricing in ORE.
- https://obrienjoey.github.io/post/ore_trade_translation/ — from CSV to ORE: automating trade translation with Python.
4. See also
- IR curve bootstrapping + official curve republish — the sprint-25 story that already cites the author's SOFR bootstrapping post.
- Open Source Risk Engine — the external knowledge page on ORE itself.