Sum of Delta, sum of vega

larsh0303 · January 22nd, 2007, 2:12 pm

Hi there,I understand I can sum up the delta of bonds; it is rather easy to be done in bond algebra. Can I do the same thing in bond options? I would assume I can since we are doing it in our spreadsheets already. But how do I prove it? In addition, can I sum up vega? I want to say I can since it is first order condition as well. But without seeing the algebra, I don't feel too confortable. Any inputs? Thank you very much.Regards

GoldDigga · January 22nd, 2007, 2:43 pm

You just need to understand that delta is the derivative w.r to the underlying and vega the derivative w.r to vol. Derivation is linear ie. the derivative of a sum is the sum of the derivatives. So I guess you've found the answer (even if i am not too sure what you were asking for).

larsh0303 · January 22nd, 2007, 11:16 pm

Thank you for both of your responses. I understand the greeks, I was just wondering whether I can derive the B/S formula to calculate the derivatives of the vol and rate. I got some insight from my other question about how to do the derivatives from the B/S formula. Thus case resolved. But still thank you for letting me know that they are sumamble.Cheers,