FI- Yield Curve Factor Model

Can someone please elaborate on how we actually calculate the sensitivities to a change in steepness (slope, twists) and curvature (butterfly shifts)? I’ve hit a wall trying to understand it and have already wasted more time than i hoped on F.I (Thanks to Wiley’sDegraaf). Would appreciate any help!

The numerator of the Ds and Dc formulas to be precise. Appreciate any help

I covered it fully in my weekly on-line class for Wiley. If your package gives you access to the archives, it should help.

That’s a relief, I was planning on sitting for the class as soon as I get done with the regular lessons. Actually looking forward to it, thank you Bill!

My pleasure.