Task: Build the par-rate DV01 and theta ladders

Table of Contents

This page documents a task in the Build the sensitivity ladders story. It captures the goal, current status, acceptance, and any notes or results.

1. Goal

A party runs a par-rate DV01 ladder and a theta ladder, and each states the one figure it produces per trade and its unit.

2. Status

Field Value
State BACKLOG
Parent story Build the sensitivity ladders
Now Not yet started.
Waiting on Nothing.
Next Begin implementation.
Last touched 2026-11-03

3. Acceptance

  • The par-rate ladder reads parsensitivity.csv, names the par instrument and tenor of each figure, and its configuration sets parSensitivity with a convention on every par instrument.
  • The theta ladder reads the Theta risk factor rows of sensitivity.csv and states its ThetaPeriod.
  • Neither ladder reports a figure in the zero-rate domain while claiming to be a par figure, and a test proves the two differ.
  • The stored figures carry the shift family, so the reader can tell which size produced them.

4. Plan

(Implementation strategy. Written when work starts; key decisions are distilled into the parent story's * Decisions at close, but the plan itself stays — it is the historical record of what we did.)

5. Measurements

Every number this task claims about a tree, with the command that produced it and the commit it was measured at. A number without both is not a measurement, because a clean-up record describes a tree and trunk moves under a branch: a consumer count, a gate's component count and a suite's size all change with no code changing, and the reader of a bare number cannot tell which tree it came from. Where the raw output matters, put it in an evidence/ file beside the task and name that file in the Command column.

What Value Command Commit
       

6. Notes

7. Test Scenarios

Manual QA scenarios (scaffolded via compass add test_scenario) that verify this task. Link new ones here as they're created; the scenario doc itself links back via its "Verifies task" field.

Scenario State Notes
     

8. PRs

PR Title
   

9. Review

Comment summary File Decision Notes
       

10. Result

11. See also

Emacs 29.3 (Org mode 9.6.15)