Timeline for Interest Rate Risk - The Greeks
Current License: CC BY-SA 4.0
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| Oct 4 at 9:36 | comment | added | JUW | Totally agree. I have a follow-up question, as the swap has Gamma, does it have Theta? So we end up with an instrument that longs Gamma but has no Theta offset. How to interpret and hedge the Gamma risk then? Would it be better to redefine the Greeks for interest rates derivatives as sensitivity against curve instrument prices not the rates? | |
| Nov 10, 2018 at 15:30 | history | answered | dm63 | CC BY-SA 4.0 |