Recent content by tray_dar

Believe me it does happen in dollar/euro/sterling and not just yen! Say the market was normalised and I want to put on a normalised strategy - is it possible to workaround this for lognormal pnl? For e.g. what I don't gain in black vega i would make some of it on the delta etc....or does it...

Hi Martin, what if your pnl is calculated using lognormal % movement? I'm thinking more from a strategy angle, say a swaption RV trade looks very good on a chart on a normalised basis but not so good in lognormal. How can you cater for this?