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Delta-one: Difference between revisions
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Perfectly [[hedge]]d; 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. | {{ap|eqderiv|{{image|Delta-hedge|jpeg|a “delta” hedge yesterday geddit??}} }}Perfectly [[hedge]]d; 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. | ||
(But why on Earth would you go [[long]] and [[short]] the same [[underlier]] at the same time (unless, of course, you were providing [[synthetic prime brokerage]] to a range of [[hedge fund]] clients)? | |||
{{Seealso}} | {{Seealso}} | ||
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*[[Hedging]] | *[[Hedging]] | ||
*[[Delta]] | *[[Delta]] | ||
*[[ | *[[Template:Calculation agent dispute|Calculation agent dispute]]. | ||