Posted by
Perissin Francesco on
Oct 15, 2002; 12:56am
URL: http://quantlib.414.s1.nabble.com/Delta-on-CapFloor-tp2246p2248.html
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.
############################################################################