Skip to main content

Questions tagged [cap]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1 vote
2 answers

What are "greeks" in general for non-standard options (swaptions, capfloors, etc)

I know what greeks are for standard options: just take the derivative with respect to some parameter, like spot, time, rate, etc. But how does one calculate greeks for swaptions and capfloors? I was ...
NewYorkoo's user avatar