Commodity Delta and FX Conversion in Endur
A presentation explaining how FX Conversion issues can affect the Delta of Commodity deal , and some possible solutions to this.
Our Articles
Gas Trans deals in Endur : Delta on wrong deal side
Occasionally COMM-TRANS deals can show index delta values attributed the wrong deal side in the Tran Gpt Delta by Leg result.
Endur Delta Calculation with different ‘Delta Calculation Currency’ settings
This article shows how the Delta calculation in Endur is affected by the “calculation currency” setting on the Delta result attribute.
Off-Peak Delta on Baseload Power Deals
This article provides an explanation for unexpected price exposure arising from a one-day power deal pricing from the monthly part of the forward.
Black Scholes ( Black 76 ) Pricing Model in Endur
Excel Pricing Model Spreadsheet for Black Scholes , which for commodities reduces to Black 76 .
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 :
