Delta-one: Difference between revisions
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*[[Hedging]] | *[[Hedging]] | ||
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*[[Template:Calculation agent dispute]]. | *[[Template:Calculation agent dispute|Calculation agent dispute]]. | ||
Revision as of 13:33, 13 April 2017
Perfectly hedged; a delta of one. Refers to a hedging strategy where a counterparty providing derivative exposure to an underlier by buying that underlier. You only need to delta-hedge your net exposure to the underlier - if, for example, you have written a long and a short TRS on the same underlier in the same size, you are delta-one hedged without buying anything - the two positions net each other off, and therefore hedge each other, exactly.