<t>HelloI would like to simulate USDTRL exchange rate with GBM. Can I use observed implied volatilities?lets assume that today USDTRL 1.80 and 1 year implied volatility %10, drift is %8If confidence interval %90, does the expected value of the USDTRL 1.80 * (1+%8) my question is about the value that...

<t>Hi,Let say I would like to make interest rate or liquidity gap analyses and I have 3 assets with following cash flowslets assume I have interest bearing liabilities)Ins_1 : 100 USD with 1 mount maturityIns_2 : 100 USD with 2 mount maturityIns_3 : 100 USD with 3 mount maturityWhen I plot these cas...

even MTM=0, counterparty(in this case the Bank) requires a collateral.Then, how much(what percentage) of the MTM should be sent to the bank as collateral? Is this percentage(amount) differs from one bank to another?

Hi,What is the leverage ratio on a OTC fx forward contract(lets say buy 1million usd and pay 1.85 million TRY)? As I do not pay anything I guess it is infinite or do I miss something entirely? Thanks in advance,

<t>Hi acastaldo, everything is not clear. i havent read the 1971 BS model. But i think call option price should be expressed in TRY per USD. (as when we multiply it with 1000000 USD it gives the cost in TRY. in that case delta = dc/dS = (TRY/USD)/(TRY/USD) so delta appears as just a ratio. Then if w...

Everything is clear know. Thank you very very much..

<t>Thank you very much for your help acastaldo. But there is something that I could not get the logic.As it is known, delta and gamma are first and second derivative(with respect to spot price) of BSM call price function. And vega, theta and rho are the first derivative of BSM call price with respec...

Yes I have asked a similar question and it was answered. However, maybe as a result of my poor english(sorry for that) I am not %100 sure. As far as I understand from the answer, all greeks' currency is USD. If someone can confirm this statement I would really appriciate. Thanks in advance

<t>Hi,I have used BS to find price of a call option, here are the inputs used :1.000.000 USD call - 1.860.976 TRY put.Strike : 1,860976Spot : 1,8200Volatility : %14,9USD rate : %0,34TRY rate : %8,479So price of a call is 0,0523613 TRY per dolar. So cost of option 52.361 TRYAnd BS greeks are : delta ...

<t>Hi,I have found a fx call option greeks by using BS formula. Lets say it is 1000 usd call, 1860 try put. Here are the results, lets assume delta = 0.52gamma = 3.14vega = 0.36(without dividing by 100)How can I find the position weighted greek values? What would be the currency of the results?Thank...

<t> Hi,Lets assume that I have done a fx swap transaction detailed like belowI will receive 1million $ and pay 1.83 mio TRY today,I will pay 1 million $ and receive 1.86 mio TRY 3 months later.My question is, if domestic currency is TRY, do I have a foreign exchange risk? I guess I have fx risk and ...

<t>Hi,In reuters, it shows a value for "gamma hedge". When I look at the description, it says "it is the difference between the gamma of an option and gamma of the underlying spot price"What does it mean "gamma of the underlying spot price"? Is there any formula to calculate gamma of the underlying ...

<t>Hi,When I apply Black Scholes greek formulas, what is the currency of results? How should I find the results in terms of the other currency? Let say I have a plain vanilla USD Call TRY Put fx option. Spot : 1.82 TRYStrike : 1.86 TRYMaturity : 0.25 yearsRiskfreerate : %0.34Domesticrate : %8.48Vola...

Thank you very much. It is very clear now. In general I may say that, if gamma is 3.14 and if I change undelying 1 bp than delta will effect (3.14 * 0.0001), similarly if lets say gamma is 0.1 and if I change underlying 1(100 to 101 eg.) than delta will effect (0.1 * 1)?Best regards...

<t>Hi Alan,Thank you very much for your reply, when I think of delta function, it is totaly understandable that gamma can be infinite at S=K, and close to zero for deep in or out of the money. But my real problem is, I can not understand the meaning of this gamma values in practice. Let me explain i...