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
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[SQL] Futures : Cascaded deals link back to Parent deal
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.
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 :
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
