|Author||Topic: CB portfolio delta|
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.
|plug the port into bloomberg, it will do it for you..|