Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I am considering a product composed of 10 underlying assets. The maturity is 5 year. Each year if the performance of the equi-weighted portfolio reach a barrier, it pays a coupon.

My question concern the computation of the greeks. For example, is it true to compute delta as the sum of the delta of each underlying assets ? Same question for the gamma, vega, rho and theta.

share|improve this question
Yes portfolio greeks are eaqul to sum of greeks of underlined. – ash Apr 15 '13 at 8:34
what is your payoff function? – Matt Wolf Apr 15 '13 at 8:54

Freddy has already answered it and my answer had an assumption in it so clarifying -

If payoff of basket with underlined securities A,B and C are $$ P_b = C_1*P_A + C_2*P_B + C_3*P_C $$ Where $$C_1 , C_2 ,C_3 $$ are contants then portfolio delta is $$ \delta_b = C_1*\delta_a+C_2*\delta_b+C_3*\delta_c $$

In short as Freddy Said , and I assumed if the potfolio payoff is merely a sum of all underlined then yes the delta will be sum of deltas of underlined. If not and then you have to apply differentiation on the payoff fuction of basket

share|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.