jactus_compute_risk
Compute financial contract risk metrics (DV01, delta, gamma, PV01) using finite difference approximation on the nominal interest rate. Returns the metric value and base PV.
Instructions
Compute risk metrics (DV01, delta, gamma, PV01) for a contract.
Uses finite difference approximation on the nominal interest rate. Returns the metric value, base PV, and computation parameters.
Args: attributes: Contract attributes dict (same format as simulate). risk_metric: One of "dv01", "delta", "gamma", "pv01". base_rate: Base nominal interest rate (default 0.05). bump_size: Finite difference bump size (default 0.0001 = 1bp).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| base_rate | No | ||
| bump_size | No | ||
| attributes | Yes | ||
| risk_metric | No | dv01 |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
No arguments | |||