there is an option duration after all! and it is duration of option = (options delta x duration of underlying x price of underlying)/price of option and btw another sneaky formula from bonds is when we want to replace an old bond with a new one… value of new bond = (Dollar Duration of old bond/Duration of new bond) x 100 imagine we see these on exam day!
its easier if you look at it as delta of option = (duration of opt * price of option)/(duration of underlying * price of underlying_
It it that this is applicable to I/R option only ?
Not only I/R. FX derivaties too
hellscream Wrote: ------------------------------------------------------- > Not only I/R. FX derivaties too But no duration for FX !
could it test the duration of an equity swap? or swaption duration.
AMA Wrote: ------------------------------------------------------- > hellscream Wrote: > -------------------------------------------------- > ----- > > Not only I/R. FX derivaties too > > But no duration for FX ! OK. OK. I always take Duration as Delta change. For FX derivatives, FX Delta.
What page did you find this on of CFA text? … and is there any mention of option beta?
Option duration is mentioned in 30f - fixed income portfolio management II.
What is its actual applications ?