Delta on CapFloor

Posted by Andre Louw-2 on Oct 14, 2002; 11:00pm
URL: http://quantlib.414.s1.nabble.com/Delta-on-CapFloor-tp2246.html

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

 
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