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Catégorie :Category: nCreator TI-Nspire
Auteur Author: JohnLaroom
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 1.92 Ko KB
Mis en ligne Uploaded: 13/12/2024 - 16:33:33
Mis à jour Updated: 13/12/2024 - 16:44:51
Uploadeur Uploader: JohnLaroom (Profil)
Téléchargements Downloads: 3
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4403954
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 1.92 Ko KB
Mis en ligne Uploaded: 13/12/2024 - 16:33:33
Mis à jour Updated: 13/12/2024 - 16:44:51
Uploadeur Uploader: JohnLaroom (Profil)
Téléchargements Downloads: 3
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4403954
Description
Fichier Nspire généré sur TI-Planet.org.
Compatible OS 3.0 et ultérieurs.
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Document in HTML Document 1. Delta Exposure Formulas When rehedged once at the end of the day: avg,once = ( initial + end-of-day ) / 2 When rehedged twice (at noon and end of day): avg,twice = ( initial + noon + end-of-day ) / 3 If initially delta hedged ( initial = 0): avg,once = end-of-day / 2 avg,twice = ( noon + end-of-day ) / 3 2. Daily Volatility Calculation Daily Volatility = Annual Volatility / 252 3. Theta Bill Calculations When = $10 million and hedged at close: Theta Bill = avg,once × Daily Volatility Theta Bill = $5,000,000 × 1.58% = $79,000 When = $10 million and hedged twice: Theta Bill = avg,twice × Daily Volatility Theta Bill = $10,000,000 × 1.58% = $158,000 4. Gamma P&L Gamma P&L (twice hedged): Gamma P&L = (1 / 2) × × (S noon ) 2 - (1 / 2) × × (S end ) 2 For = $10 million: Gamma P&L = (1 / 2) × $10,000,000 × (0.02) 2 - (1 / 2) × $10,000,000 × (0.01) 2 = $4,000 For = $15 million: Gamma P&L = (1 / 2) × $15,000,000 × (0.035) 2 = $9,187.50 5. Vega Impact Formula for Vega: Vega = Ã × T × For 1 month maturity (T = 1/12), = $15 million, and à = 25%: Vega = 0.25 × (1 / 12) × $15,000,000 = $312,500 Vega P&L for à = -2%: Vega P&L = Vega × Ã Vega P&L = 312,500 × (-0.02) = -$625,000 6. Total P&L Formula Total P&L = Gamma P&L - Theta Bill + Vega P&L Example with = $15 million, 1-month maturity: Twice hedged: Total P&L = 8,437.50 - 237,000 - 625,000 = -$853,562.50 End-of-day hedge only: Total P&L = 12,187.50 - 118,500 - 625,000 = -$731,312.50 Made with nCreator - tiplanet.org
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Compatible OS 3.0 et ultérieurs.
<<
Document in HTML Document 1. Delta Exposure Formulas When rehedged once at the end of the day: avg,once = ( initial + end-of-day ) / 2 When rehedged twice (at noon and end of day): avg,twice = ( initial + noon + end-of-day ) / 3 If initially delta hedged ( initial = 0): avg,once = end-of-day / 2 avg,twice = ( noon + end-of-day ) / 3 2. Daily Volatility Calculation Daily Volatility = Annual Volatility / 252 3. Theta Bill Calculations When = $10 million and hedged at close: Theta Bill = avg,once × Daily Volatility Theta Bill = $5,000,000 × 1.58% = $79,000 When = $10 million and hedged twice: Theta Bill = avg,twice × Daily Volatility Theta Bill = $10,000,000 × 1.58% = $158,000 4. Gamma P&L Gamma P&L (twice hedged): Gamma P&L = (1 / 2) × × (S noon ) 2 - (1 / 2) × × (S end ) 2 For = $10 million: Gamma P&L = (1 / 2) × $10,000,000 × (0.02) 2 - (1 / 2) × $10,000,000 × (0.01) 2 = $4,000 For = $15 million: Gamma P&L = (1 / 2) × $15,000,000 × (0.035) 2 = $9,187.50 5. Vega Impact Formula for Vega: Vega = Ã × T × For 1 month maturity (T = 1/12), = $15 million, and à = 25%: Vega = 0.25 × (1 / 12) × $15,000,000 = $312,500 Vega P&L for à = -2%: Vega P&L = Vega × Ã Vega P&L = 312,500 × (-0.02) = -$625,000 6. Total P&L Formula Total P&L = Gamma P&L - Theta Bill + Vega P&L Example with = $15 million, 1-month maturity: Twice hedged: Total P&L = 8,437.50 - 237,000 - 625,000 = -$853,562.50 End-of-day hedge only: Total P&L = 12,187.50 - 118,500 - 625,000 = -$731,312.50 Made with nCreator - tiplanet.org
>>
