Story: Build the sensitivity ladders
Table of Contents
This page documents a story in Sprint 30. It captures the goal, current status, acceptance criteria, and the tasks that compose it.
1. Goal
A desk reads its sensitivities as ladders. A report names the sensitivity documents it runs, and each ladder is read from the sensitivity report.
2. Status
| Field | Value |
|---|---|
| State | BACKLOG |
| Parent sprint | Sprint 30 |
| Now | Not yet started. |
| Waiting on | Nothing. |
| Next | Break the story into tasks. |
| Last touched | 2026-11-08 |
3. Acceptance
- A report definition binds the sensitivity document that names the factors it shifts.
- Each ladder in the design is seeded and reads from the sensitivity report.
4. Tasks
| Task | State | Start | End | Description |
|---|---|---|---|---|
| Bind a sensitivity configuration to a report definition | BACKLOG | A sensitivity run must name the factors it shifts: bind a SensitivityAnalysis document into the configuration slot a report definition already has for it. | ||
| Build the cross-gamma ladder | BACKLOG | The cross terms are present in the sensitivity report as rows with two factors; crossgamma.csv has no writer at 1.8.17.0, so the ladder reads the rows. | ||
| Build the .1 ATM and surface vol ladders | BACKLOG | The .1 ATM ladder shifts one point per expiry; the .1 surface ladder shifts every configured strike. Both are the same report over two sensitivity documents. | ||
| Build the rates delta and gamma ladders | BACKLOG | The bucketed delta and gamma report over the discount, index and yield curves: one figure per curve and tenor, read from the sensitivity report. | ||
| Build the par-rate DV01 and theta ladders | BACKLOG | The two ladders whose whole result is one figure per trade: the par-rate DV01 from the par conversion, and theta from the clock. | ||
| Derive the risk reversal and strangle ladders | BACKLOG | The engine has no risk reversal factor, so the RR and STR ladders are a change of basis over the surface-point deltas of the surface run. | ||
| Design the .1 and greek ladder reports | BACKLOG | 2026-11-03 | The .1 family and the wider greek ladders are prose only; research ORE and design the reports before seeding. | |
| Seed the sensitivity shift families | BACKLOG | One sensitivity document per risk class, with the shift sizes a desk reads as the .1 and the basis-point families selected by key. |
5. Decisions
- Split on 2026-11-08 at sprint 30 start from Rework the market data feeds into a market data service with adapters, where these tasks did not belong.