Vega is the expected sum of gamma PnL due to volatility changes. The relationship is given by: Vega = sigma t S^2 GammaQuantitative answer can be found at Tabel (97) or a short paper by Mercurio "Vega-Gamma Relationship".

<t>Hi,could you please help me on the problem I am facing?I need to create a discount curve when collateral is not cash but an asset. The asset is: German/Dutch/French government bonds with haircut.I consider two approaches:1) Using repo rates at the short end of the curve. What should I use for the...

I could use the cross though USD but there are two problems with it:1) USDDKK or USDNOK is less traded 2) There are neither RR nor BF quoted for USDDKK. So I'm not able to obtain the smile on the USDDKK surface.

<t>HiI am currently struggling with a valuation of fx options on DKKNOK. I wanted to calculate a cross volatility of DKKNOK through EUR as the base currency (vol of EURDKK and EURNOK). The problem is that I don't have an access to quoted vols for EURDKK. As DKK is pegged +/-2.5 to EU, I started to c...