does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
IR01 measures the sensitivity of a portfolio or derivative to a parallel shift in the yield curve. Sometimes this is DV01 Dollar value (or PV01 present value). Is it always?
I'm trying to figure out if there is a way to intuitively calculate cross gamma. I have a gamma table for 2 (or more) assets Asset 1 ...