Forums  > Pricing & Modelling  > Swaption Delta & Gamma calculation using 1 factor HJM Model  
     
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xmiss


Total Posts: 1
Joined: Apr 2018
 
Posted: 2018-04-25 13:27
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 1-factor Heath-Jarrow-Merton 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: 3402
Joined: Jun 2004
 
Posted: 2018-04-25 15:27
Merton? Confused

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: 41
Joined: Jun 2017
 
Posted: 2018-04-27 19:07
Delta = [NPV(s + 1 bps) - NPV(s)] / 1 bps
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