When (Impact of ) Delta and the Base Currency are in Different Currencies in Endur
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 :
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Delta, Gamma, Cross Gamma using Finite Difference Method
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 : Example WTI Swap Price Underlying
Mod-Levy Asian Pricing Model : Excel Example 1 using (i) Cal Month Swap Price and (2) Future Vols
Endur External Pricing Model Overview 1
An overview presentation on External Pricing Models