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Quantitative Finance · Glossário

O que é Sensitivity cache?

Definition 18.4 Research, Data and Risk Platforms · Capítulo 18 — Real-Time Risk

A sensitivity cache keeps each trade’s sensitivities (delta, gamma, vega) computed by the pricing library at one market snapshot, uses them to carry exposures forward as the market moves, and recomputes them when the market has moved more than a threshold since.

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