xmiss


Total Posts: 1 
Joined: Apr 2018 


Hi guys. I'm a grad student studying Financial Engineering and I really need some help here.
I'm trying to calculate delta of an interest rate swaption using 1factor HeathJarrowMerton Model. No idea how to do it... I don't think I should apply BS model or Black model directly consider I am not even using these two models.
I googled but no one seems to be writing anything about this.
Feeling desperate. :/ 



pj


Total Posts: 3440 
Joined: Jun 2004 


Merton?
If you have the expression of the option price, just take a derivative with the respect to price S. That what the delta is. Gamma is the second derivative.
AFAIK, if your HJM model is one factor, it is the same as a Black model.
And it definitely belongs to basic thread. 
The older I grow, the more I distrust the familiar doctrine that age brings wisdom
Henry L. Mencken 

day1pnl


Total Posts: 53 
Joined: Jun 2017 


Delta = [NPV(s + 1 bps)  NPV(s)] / 1 bps 


