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https://www.r-bloggers.com/2021/07/delta-sensitivity-of-interest-rate-swap/
Delta Sensitivity of Interest Rate Swap
This post explains how to calculate delta sensitivities or delta vector of interest rate swap, especially delta. delta can be calculated by either 1) zero delta or 2) market delta. To the best of our knowledge, FRTB can use these two methods but SIM...
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