It varies--- I knew in some firms it has its own PnL while also heard in some other banks it's merely a risk-mgmt role

The answer is trivial .... you just need to do some transformation max(0.95,S_T/S_0)=1/S_0*(max(S_T-0.95S_0)+0.95S_0); and you can get the delta right away

<r>how (un)real is this? see last linehttp://<URL url="http://www.bloomberg.com/apps/news?pid=20601087&sid=aWgNOBGHp3hM&refer=home"><LINK_TEXT text="www.bloomberg.com/apps/news?pid=2060108 ... refer=home">www.bloomberg.com/apps/news?pid=20601087&sid=aWgNOBGHp3hM&refer=home</LINK_TEXT...

<t>) Cheating generally exists within different group of ethnics, not Chinese alone; my firend is doing a project in a Top UK uni ( she is a Chinese), and she complained when they're about to complete the project, her non-Chinese classmates will come and ask for solutions, which made her uncomfortab...

<t>Thanks for the quick reply, from expertWas talking abt paying 10Y/30Y fixed, rec 20Y fixed. the delta in the correct direction I think? or maybe you and i are thinking abt different things...anyway assuming the structured as what is descriped above; so at inception we're delta neutral; my initial...

<t>Hello everyone,New to this forum, hope anyone can advise the following?what's the rational for a fly trade? I'm not talking abt the usual butterfly options, but swaps.for example,Pay 10 y leg delta +20kRec 20y leg delta - 40kPay 30y leg delta +20kI think it's meant to take advantage of the curvat...

Cool, Berkeley MFE seems still one of the top programs...