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.

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

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