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Trade-level risk example: every swap's sensitivity to every curve quote with AAD - #30
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A new example that computes the sensitivity of every swap in a book to every curve quote with AAD, checked against central differences and compared with bumping at run time.
Changes
Python/examples/trade-risk.py: bootstrap a curve from deposits, FRAs and swaps, record the curve once and each swap in a small recording of its own, and get each swap's sensitivities to all quotes; checked against a full recording of curve and book and against central differences on sample swaps