What is Delta Adjusted Notional of Interest Rate Swaption Show? and do you calculate the Delta Adjusted Notional?

hookedup's picture
Rank: Baboon | 104

What is Delta Adjusted Notional of Interest Rate Swaption Show? and do you calculate the Delta Adjusted Notional?

Just would like a quick run down and what this metric looks to show. If anyone smart knows how its calculated, please show your skills.

Comments (5)

Feb 8, 2017

You need to provide some context... Sounds a little weird to me, so I'd rather not guess.

Feb 9, 2017

The CFTC is requiring reporting of Delta Adjusted Notional on Swaptions valuations upon execution of a swaps package. Just wanted to know if I am taking risk off, why this matters and isnt this just the notional time the delta

Feb 8, 2017

I don't know why this matters... I think it is, in fact, just notional times delta.

Feb 9, 2017

Just wanted to make sure that is all there was to it. Thank you very much sir.

Feb 8, 2017
Comment