AuthorTopic: CB portfolio delta
@2004-08-26 13:08:17
Dear all,

I need help. How do I calculate the delta of a convertible bond portfolio?

We have around 50 holdings. Premium is 35%. 60% trade at the bond floor - delta small, 10-15% in the money - delta >.5.

Do I estimate the delta for each holding and find a weighted average? Or extrapolate from the portfolio premium?

Thanks for your help.

@2004-08-28 16:59:16
plug the port into bloomberg, it will do it for you..

CFA Discussion Topic: CB portfolio delta

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