March 20th, 2016, 6:15 pm
Quick query really. when calculating the Option capital risk charge. Once Vega and Gamma are calculated they are slotted into time bands which determines the risk weight to be applied. Which time band is causing me some confusion, for a call / put for example then i am assuming it is the expiry date. For a cap for example, would it be the next caplet or the final maturity.any guidance would be most appreciated.