Hi Blazes, it is indeed the idea but it is not clear to me yet how I can map the PCA weights of the different points on each other. I will look further. As far as I can remember, the code was less than 10 lines so it is not something too exotic. Tks!

<t>That can indeed be a good idea. But then the points between 2 pillars will only be projected on these 2 pillars. Basically the idea is the same except I'd like to be able to extract all the covariance information.And then to be honest, I would also like to apply it to a volatility surface, where ...

<t>Hi all,I remember seing a few years ago that one could reduce the number of dv01 exposures by "aggregating" them. This wasn't for traders but for management. For instance we may 30 dv01 exposures but some people like to see it summed up on the 2Y, 10Y, 30Y points for instance. So the other 27 exp...