Setting up and using Date Shortcuts for deal entry
Date Shortcuts allows easier deal entry for common delivery periods. For example if you wanted to book a Summer 16 trade
Setting up and using Date Shortcuts for deal entry
Date Shortcuts allows easier deal entry for common delivery periods. For example if you wanted to book a Summer 16 trade
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
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