Reply To: Rounding Price in Pricing Formula impacting Delta ( Gas Deals )

Gareth Evenson

Yes – this is a common issue with delta calculation and generates massive delta spiking. When the delta shift moves through a rounding level then there is a step jump in price/value, which is often not symmetrical.

The formula should look at the profile reset status, if the status is know then round the price, if not then don’t round (as you only need a rounded price for settlement).

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