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Amwelladmin (talk | contribs) Created page with "{{box| ===Delta=== A delta of 1 gives a one-for-one correlation with the return of the underlying. A delta of -1 does the exact opposite of what the underlyer..." |
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===[[Delta]]=== | ===[[Delta]]=== | ||
A [[delta]] of 1 gives a one-for-one [[correlation]] with the return of the [[underlying]]. A delta of -1 does the exact opposite of what the underlyer is doing: If [[underlier]] goes up, [[swap]] necessarily goes down by the same amount. A [[delta]] of 0 means the return on the two products is completely unconnected. | A [[delta]] of 1 gives a one-for-one [[correlation]] with the return of the [[underlying]]. A delta of -1 does the exact opposite of what the underlyer is doing: If [[underlier]] goes up, [[swap]] necessarily goes down by the same amount. A [[delta]] of 0 means the return on the two products is completely unconnected. | ||
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Revision as of 09:33, 10 August 2017
Delta
A delta of 1 gives a one-for-one correlation with the return of the underlying. A delta of -1 does the exact opposite of what the underlyer is doing: If underlier goes up, swap necessarily goes down by the same amount. A delta of 0 means the return on the two products is completely unconnected.