|
|
Hi,
I'm in a bit of a fix.
I need to NUMERICALLY calculate the delta on a Black-type capfloor.
Calculating said on a specific caplet (in terms of the forward and in terms
of spot) the way I have it is:
Delta(Forward) = eta * Normdist(d1)
Delta(Spot) = eta * NormDist(d1) * df(Maturity) * yearFraction
However getting a total for the full strip of caplets is an unknown to me?
Do you base it on an average of all the caplets, I presume not?
Thanx
Andre
-------------------------------------------------------------------------
This e-mail is intended only for the use of the individual or entity named
above and may contain information that is confidential and privileged,
proprietary to the company and protected by law. If you are not the intended
recipient, you are hereby notified that any dissemination, distribution or
copying of this e-mail is strictly prohibited. Opinions, conclusions and
other information in this message that do not relate to the official
business of our company shall be understood as neither given nor endorsed by
it.
|
Locked
