The following SQL can be used to link together cascaded futures back to their parent contracts. It’s a useful SQL as an audit report and to track the relationship and ensure that the position and price have cascades correctly.
If the Delta is on a $ Curve and the PnL is in EUR , the EUR PnL Impact Of Delta from this $ curve is calculated by :
When prices move the change in PnL can be explained by using the greeks and calculating Impact of Delta , Impact of Gamma , Impact of Cross Gamma.
Mod-Levy Asian Pricing Model : Excel Example 1 using (i) Cal Month Swap Price and (2) Future Vols
An overview presentation on External Pricing Models
We have unrivalled expertise in successful C/ETRM and TMS implementations, and digital transformation projects, as well as defining market solutions that have become system industry standards. We have a proven track record of successful deliveries at greenfield projects and at existing clients.
Copyright 2022 KWA Analytics
Openlink®, Endur®, Findur®, and the Openlink logo are trademarks, service marks or registered trademarks of Openlink Financial LLC.
KWA Analytics and Openlink Financial LLC are unaffiliated companies.