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delta of barrier FX options
I need calculate delta for barrier options and partial barrier options (the monitor period is shorter than the expiry period). What is the standard way used in the market? Any advice is appreciated. Thanks!
delta of barrier FX options
delta will depend on what type of model you use; most fx players use mix of local/stochastic vol priced using PDE methods (delta falls out of this approach)if you have BBG you can use similar model using OVML. (Stoch-Local Vol) from the model dropdownlots of HFs still like to use BS delta if doing delta-exhange (balance can obvs be done at market if diff from smile delta)
delta of barrier FX options
And to calculate it yourself, forget analytic formulas, bump the spot (unless you're calculating the delta exchange, as sacevoy pointed out).