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by BD123
October 26th, 2016, 4:56 pm
Forum: General Forum
Topic: Zeros and Convexity
Replies: 1
Views: 1103

Zeros and Convexity

Hi all, I'm reading through the old Salomon Brothers Yield Curve paper and I am trying to reconcile these two statements: 1. "In particular long-term zeros exhibit very high convexity" 2. "There are convexity differences between bonds that have the same duration. A barbell position (w...
by BD123
July 25th, 2016, 4:43 pm
Forum: General Forum
Topic: spread duration VS duration times spread
Replies: 2
Views: 13317

Re: spread duration VS duration times spread

Hi all, old post so not sure if you're still following the thread. This was the only thread I could find on DTS vs spread duration. Bearish, do you think you could give a basic example with numbers from a hypothetical portfolio on the difference in how spread duration and DTS would be calculated? Is...
by BD123
December 28th, 2014, 3:03 pm
Forum: General Forum
Topic: Delta and Gamma of ATM option with time to Expiration
Replies: 7
Views: 4621

Delta and Gamma of ATM option with time to Expiration

<t>Awesome, thank you. I've been experimenting with the delta equivalent stock method. For longer periods I've been tinkering with potential position value and probability of being ITM as a scaling factor, combined with delta and gamma as well just to see how the results vary. I know so many people ...
by BD123
December 21st, 2014, 11:40 pm
Forum: General Forum
Topic: Delta and Gamma of ATM option with time to Expiration
Replies: 7
Views: 4621

Delta and Gamma of ATM option with time to Expiration

<t>Forgive me if this ends up having an obvious answer. I was looking at the behavior of some ATM options and was wondering what steps are commonly undertaken to help project the overall portfolio variance of a portfolio that is mixed between options and equities? Would you simply treat the option a...