<t>totally agree. as a matter of fact I did run some test on calculating the daily gamma and calculate it's pnl using eod curves assuming I can get it at mid. i.e bought a straddle, keep normal delta neutral and just hedge eod back to flat. the sum of all gamma pnl plus the terminal swap value is th...

<t>hi all,How's the realized vol calculated? say for a usd 1m10y straddle. Should the realized vol be calculated as the 10y rate move over the 1m period (as >95% of the risk goes into this bucket anyways for a 1m10y swap), or measured as this fixed-dates forward rate changes? Assuming it is the 1st ...

<t>I've been looking for an answer for this awhile (including reading the answer from Matlab help message as suggested above). After reading the above post, I've decided to give my opinion (even this is an old post)Say D is my original data. M is the mean of the D, with each column in M is the same ...

It would of course. But how about the Theta? Or do you mean the Theta should be zero?

<t>QuoteOriginally posted by: daveangelsome more detail as to how you have implemented dividends would be helpful. have you done this using a dividend yield or discrete dividends ? I fhte latter how have you tken them into account ?The dividends are implemented as arrays of times/amounts. the standa...

<t>I have implemented a Trinomial tree method that takes into account of discrete dividends and been getting good results on Tvs and other greeks generally. However, at the exdividend date, my theta is getting some weird result. My theta is calculated as follows:Theta = (V_{1,1} - V_{0,0})/dt where ...