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Results tagged with greeks
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user 36355
Greeks are named quantities representing sensitivity of option price to change in underlying parameters. Use of [greeks] tag should relate to one more named quantities, such as delta or gamma.
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Interest Rate Risk - The Greeks
Since Interest Rate Swap is a Linear derivative , I dont believe there will be Gamma on a IRS. If Duration of Swap is considered, it will be Duration of Fixed minus Duration of Floating which will be …
