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driftless delta or forward delta?
Posted: December 12th, 2012, 1:48 pm
by koolad
Why is driftless delta often called forward delta in the fx world?
driftless delta or forward delta?
Posted: December 12th, 2012, 4:32 pm
by acastaldo
According to Wystup forward delta (eqn 5) is not the same as driftless delta (eqn 6).
driftless delta or forward delta?
Posted: December 12th, 2012, 5:05 pm
by koolad
Thanks..I am not too aware how well you are aware of how fx deltas are quoted..for longer dated fx options often "forward deltas" are employed..You'll find this strange but these are essentially driftless deltas..Here is another paper by Wystup..
http://www.frankfurt-school.de/clicnetc ... 94AB4..eqn 6..
driftless delta or forward delta?
Posted: March 2nd, 2013, 4:36 pm
by fxotrader
i've never come across "driftless delta"i've only ever seen spot delta and forward delta (used for determining strikes of options with >2y maturities)