Imported from previous forum
Has anybody run accross the need to specify forward delta as opposed to spot delta?
We only have PriceDelta [811], should we introduce delta type?
We may think of a block for greeks with value and value type pairs.
Nathan
These are covered within the current FX OTC Options proposal. A Delta Basis field is proposed with three values:
0-unhedged
1-Spot hedge
2-Forward hedge
Right now, and I am not sure I am 100% on board with this - but I have been reassured by many more knowledgeable than myself that placing the greeks within the stipulations component is the right approach - so that is what we have proposed.
We almost put in the options pricing derivatives (greeks) in 4.4 and I pulled it at the last minute. I have modeled a separate component for them more than once and have been hesitant to move forward with the recommendation. Ambivalence abounds.
Please see the GFXC Tech Subcommittee draft for FX Options for further information. Feedback always appreciated.
Has anybody run accross the need to specify forward delta as opposed to spot delta?
We only have PriceDelta [811], should we introduce delta type?We may think of a block for greeks with value and value type pairs.