nablatensor

Docs / nablatensor-risk / com.nablatensor.risk

enum

RiskMeasure

Whether a sensitivity is a first-order delta, a vega, or a curvature (CVR).

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Enum constants

DELTA

First-order sensitivity to a risk factor (price move per unit factor move).

VEGA

Sensitivity to implied volatility.

CURVATURE

Curvature (CVR): the second-order risk left over after the delta hedge.