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SWilson
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Posts: 33
Joined: February 13th, 2018, 5:27 pm

Need Delta Help

May 21st, 2019, 5:49 pm

Have some deals that came across my desk that have multiple provisions.  It's a combination of a path dependent swap, a plain vanilla euro put and then a path dependent call all combined in one deal.  The path determines if the volumes accumulate or not and then are settled at expiration.  So in practice what is a good starting place to calculate delta for all of the combined provisions as a whole.  Oh and the path is monitored discretely, daily.
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