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.
This article shows how the Delta calculation in Endur is affected by the “calculation currency” setting on the Delta result attribute.
This article looks at two approaches to creating required averaging structures, on oil indexed gas contract deals
Excel Pricing Model Spreadsheet for Black Scholes , which for commodities reduces to Black 76 .
Nearly all high-level programming languages make use of a section of the process address space called the heap
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 :
An overview presentation on External Pricing Models
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