When (Impact of ) Delta and the Base Currency are in Different Currencies in Endur

by Israr Ahmed

If the Delta is on a $ Curve and the PnL is in EUR then we have changes in PnL from two sources : (1) Change in underlying $ Price and (2) Change in EUR/USD Spot FX . The Impact Of Delta result in Endur shows (1) as the latter is captured by Impact Of Spot FX. To recast the Impact Of Delta from a $ to a EUR value we can think of this as below :

Note that when the “Delta/Gamma Attribute” target “Impact of Delta Reporting currency” has “Scenario Base Currency” selected , then the ‘Impact of Delta by Leg’ result uses SpotFX(t-1) to convert from Curve Currency to Scenario Currency. However the “Impact of Delta” column on the “Base PnL Explained” result uses SpotFX(t) to convert from Curve Currency to Scenario Currency.

Tags: Articles, Endur, Features, Openlink, Subscriber Articles

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