What Would UxHw® Be Worth on Your NPV Sensitivity Runs?

What a trading book is worth today rests on inputs nobody knows exactly, so a financial institution's trading desk asks how far the valuation moves when they move. Answering that in QuantLib, an open-source library widely used to price financial instruments, means computing the net present value, or NPV, again and again over sampled inputs. UxHw computes with the distributions themselves, so the answer comes from one pass. These runs are small to begin with, so the gain buys work you could not do before rather than a large saving. Enter your grid and see what changes.

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