Notation
Symbols and the units Greeks are reported in.
Symbols used throughout the documentation.
- S
- spot price of the underlying
- K
- strike
- T
- time to expiry in years
- r
- continuously compounded risk free rate
- q
- continuous dividend yield
- σ
- annualised volatility
- τ
- fixed tenor of a constant maturity index, in years
- Φ, φ
- standard normal distribution function and density
- P
- a portfolio, as a set of signed positions
- V(P)
- mark to market value of P
- L(P)
- worst case scenario loss of P
- h
- liquidation horizon in days
- κ
- scenario width in standard deviations
Greek units
Greeks are returned in the units used on a trading desk rather than in raw analytic units. This is a presentation choice applied consistently, and the conversion is part of the tested surface.
| Greek | Reported as | Conversion |
|---|---|---|
| delta | per unit of spot | none |
| gamma | per unit of spot, per unit | none |
| vega | per volatility point | × 0.01 |
| theta | per calendar day | ÷ 365 |
| rho | per rate point | × 0.01 |