Re: [Quantlib-users] Sensitivity calculation for Swap

[Mike D. <mik...@gm...>]

Quantlib Cookbook is v nice document. Has some examples of how to bump zero
curves etc and you can then use the standard sensitivity methods to
separate delta vs gamma pnl if you like…

Hope that helps.

-Mike


On Wed, Aug 23, 2023 at 15:20 Brian Smith <bri...@gm...>
wrote:

> Hi,
>
> I am looking for some examples on how can i estimate Gamma sensitivity of
> a typical fixed-float Swap w.r.t. zero curve at different tenors.
>
> Is there any way to estimate the same with Quantlib?
>
> Any insight/reference will be very helpful.
>
> Thanks for your time.
>
>
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