by Israr Ahmed
This article shows how the Delta calculation in Endur is affected by the “calculation currency” setting on the Delta result attribute
Endur ALWAYS reports the Delta in the Curve Currency.
However there is a new parameter “Tran Gpt Delta Calculation Currency” which determines what currency the MtM is converted to during the Delta Calculation Up and Down Shift MtM values . But then regardless of this setting, the end Delta is ALWAYS converted back to the Curve CCY. |
Given that MtM is obviously in the Deal CCY , we have the following calculation in Endur:
As the MtM is already in Deal CCY there is no FX conversion in the Up and Down shift MtM. But there is a final FX conversion to convert back to Curve CCY from the Deal CCY.
As the MtM is in Deal CCY there is a FX conversion in the Up and Down shift MtM to the parameter required Curve CCY. As the resulting Up and Down shift MtM are therefore already converted to Curve CCY there is no need for a final conversion to Curve CCY.
As the MtM is in Deal CCY there is a FX conversion in the Up and Down shift MtM to the parameter required Base CCY. Then there is a final FX conversion to convert back to Curve CCY from the Base CCY.
