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.