Sensitivities¶
The Sensitivities worker calculates Greek sensitivities and duration metrics for each security in a portfolio, and returns the results as a datastore.
Parameters¶
Input¶
| Field | Description |
|---|---|
| Portfolio | The target portfolio. Accepts Fixed Portfolio, Get Latest, or Upstream Data |
| Standalone (Raw) | Whether to calculate raw sensitivity values at the Security level. Options: Delta, Gamma, Theta, Vega, CS01, DV01, Years To Maturity, Yield To Maturity, Effective Duration, Macaulay Duration, Modified Duration, Average Life. Accepts Boolean |
| Notional Weighted | Whether to calculate notional-weighted sensitivity values at the Security level. Same set of metrics as Standalone (Raw). Accepts Boolean |
Output¶
| Field | Description |
|---|---|
| Name | Name of the output datastore. Accepts Template Text or Upstream Data. Defaults to the portfolio name |
| Workspace | Workspace where the output datastore will be saved. Accepts Fixed Workspace. Defaults to the current workspace |
| Date | Date of the output datastore. Accepts Fixed Date or Upstream Data. Defaults to the portfolio date |
| Link UID | Link UID of the output datastore. Accepts Template Text or Upstream Data. Defaults to the portfolio link UID |
| Tags | Tags for the output datastore. Accepts Fixed Tags or Upstream Data. Defaults to the portfolio tags |
| Storage Mode | Transient — exists only within the current workflow run (default); Create — saves the datastore to the platform |
Advanced¶
| Field | Description |
|---|---|
| Header Suffix | Suffix appended to the end of column names in the output datastore. Accepts Template Text or Upstream Data. Default is no suffix |
| Include Info | Whether to include portfolio and security metadata columns in the output. Default is Yes |
| Include Aggregations | Whether to include aggregated security values in the output. Default is No |
| Model | Engine model version to use for calculation. Default is V1 |
Result¶
Once the worker finishes successfully, it returns a result object containing the datastore. You can check the Output Types article to learn more about result object types.
- Datastore (datastore)
- ID (string)
- Name (string)
- Date (date)
- Tags (list of strings)
- Data (list of lists)
The Data component includes sensitivity columns for each selected metric, with prefixes indicating the calculation type:
sec_*_raw— Standalone (Raw) sensitivity values per securitysec_*_notional_weighted— Notional-weighted sensitivity values per security
Available metrics: delta, gamma, theta, vega, cs01, dv01, years_to_maturity, yield_to_maturity, effective_duration, macaulay_duration, modified_duration, average_life