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Version: 21.8.3

Measures for ELCURRENTMEASURE

The keys in the next table presents the possible types of risk figures which could be used in the generic ELCURRENTMEASURE function.

Note: the letter case has no influence on the functions.

KeyDescription
NPVprovides the net present value
Durationreturns the duration of a bond
DV01returns the dollar change for 1bp change in the yield curve of a bond
Convexityreturns the convexity of a bond
CS01returns the dollar change for 1bp change in the credit curve of a bond
CVAreturns the market value of the counterparty credit risk
deltareturns the change in the option price with respect to 1 unit of change of the underlying price
gammareturns the change of delta with respect to a change in the underlying prices
thetareturns the change in the option price with respect to the time decay to the expiration date.
vegareturns the change in the option price with respect to a change in the underlying volatility