Delta on CapFloor
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Hi,
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. |
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Hi Andre
I could not understand why you need to calculate Delta NUMERICALLY. Moreover, what you are writing below is an ANALYTICAL solution, isn't it? So, let's talk about an analytical delta. At the mom I have not the black's formula in front of me, but I assume that yours is correct. In order to get the the cap delta starting from caplet deltas, you simply need to sum them up, since the cap is a sum of caplets... (and given the additive propriety of the derivative operator) Maybe I misunderstood something? Francesco Perissin -----Original Message----- From: Andre Louw [mailto:[hidden email]] Sent: Tuesday, October 15, 2002 7:10 AM To: QuantlibUsers (E-mail) Subject: [Quantlib-users] Delta on CapFloor Hi, 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. ------------------------------------------------------- This sf.net email is sponsored by:ThinkGeek Welcome to geek heaven. http://thinkgeek.com/sf _______________________________________________ Quantlib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users -- ############################### DISCLAIMER ################################# This message (including any attachments) is confidential and may be privileged. If you have received it by mistake please notify the sender by return e-mail and delete this message from your system. Any unauthorised use or dissemination of this message in whole or in part is strictly prohibited. Please note that e-mails are susceptible to change. Banca del Gottardo (including its group companies) shall not be liable for the improper or incomplete transmission of the information contained in this communication nor for any delay in its receipt or damage to your system. Banca del Gottardo (or its group companies) does not guarantee that the integrity of this communication has been maintained nor that this communication is free of viruses, interceptions or interference. ############################################################################ |
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In reply to this post by Andre Louw-2
Hi Andre,
from what I saw in the major european trading rooms on IR derivatives it's even simpler: the total delta is just the sum the delta for each caplet. You need to weight these deltas if the notional changes during the life of the cap ( amortization e.g) Hope it helps Xavier Andre Louw <[hidden email]> To: "QuantlibUsers (E-mail)" Sent by: <[hidden email]> [hidden email] cc: eforge.net Subject: [Quantlib-users] Delta on CapFloor 15/10/2002 07:10 Hi, 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. ------------------------------------------------------- This sf.net email is sponsored by:ThinkGeek Welcome to geek heaven. http://thinkgeek.com/sf _______________________________________________ Quantlib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ************************************************************************* Ce message et toutes les pieces jointes (ci-apres le "message") sont confidentiels et etablis a l'intention exclusive de ses destinataires. Toute utilisation ou diffusion non autorisee est interdite. Tout message electronique est susceptible d'alteration. La Fimat et ses filiales declinent toute responsabilite au titre de ce message s'il a ete altere, deforme ou falsifie. ******** This message and any attachments (the "message") are confidential and intended solely for the addressees. Any unauthorised use or dissemination is prohibited. E-mails are susceptible to alteration. Neither Fimat nor any of its subsidiaries or affiliates shall be liable for the message if altered, changed or falsified. ************************************************************************* |
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