Questions tagged [weights]

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Extend basket analytic solution (equal weighted) to a various weight basket, also put formula

So I coded up the solution from here: Do basket options have a closed form valuation formula? Which provides a good solution for equally-weighted underlyings under a Black model. The simplified ...
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FX weights and P&L

How to correctly express basket of currencies in and index, such that P&L would align? Assume our index is 20% EURUSD and 80% GBPUSD and rates are 1.10 and 1.31 for T1 and 1.05 and 1.35 for T2. On ...
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How to compute portfolio weight of forward contract

how would one formally calculate the portfolio weight of a Forward position? Suppose I have 100 mio portfolio. I have 50mio in Tesla shares and I have 50mio in Microsoft shares, and I enter into a 1 ...
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