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seen Jul 7 '12 at 2:39

Mar
9
comment Vanna - any practical uses for risk or pnl attribution purposes?
can you expand you answer pls. tnx.
Aug
21
comment Is there any gamma in basis (i.e., floating for floating) interest rates swaps?
What if the base is the same? i.e. one leg is 3M LIBOR and the second leg is 1M LIBOR (quoted as basis spread to 3M LIBOR)? Will there be a gamma in that case?
Apr
9
comment Vanna - any practical uses for risk or pnl attribution purposes?
Thanks for the link, olaker. I was mostly interested in how could I incorporate the vanna into my pnl explanation code. The first order greeks like delta and vega are easy, gamma and vomma is a bit more complex, but doable too. I am at loss as to how to add the vanna (which I see as a cross-greek) into the whole picture... Ideas anyone?