Posted by
Xavier.Abulker on
Oct 15, 2002; 1:29am
URL: http://quantlib.414.s1.nabble.com/Delta-on-CapFloor-tp2246p2247.html
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
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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
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