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English to German translations [PRO]
Bus/Financial - Finance (general) | | English term or phrase: made an adjusted delta ratio arbitrage | | Equity markets declined in March. We did not realise any transaction during the month and we remained underweight to the equity exposure. We took advantage from the drop in oil price in April, lifting our position in OMV 2008 to the benchmark weighting. We ***made an adjusted delta ratio arbitrage***, selling the exchangeable bond KFW into Deutsche Telekom and purchasing more convertible Telecom Italia 2010. |
| | | deltaadjustierte Arbitrage | Explanation:
Genau genommen ist das natürlich keine Arbitrage, sondern eine komplexe Spreadposition, die einer Reihe von Einflussfaktoren unterliegt:
- unterschiedliche Zinssensitivität der Anleihen,
- unterschiedliche Emittentenspreads (KfW vs. Telecom Italia),
- Aktienkursentwicklung (DTAG vs. TI),
- Volatilität (DTAG vs. TI).
Die Delta-Anpassung der Arbitrage bezieht sich dabei offensichtlich auf unterschiedliche Optionssensitivitäten der eingebetteten Put auf DTAG bzw. Call auf Telecom Italia.
Das Spreadsheet zur Berechnung der Sensitivitätsparameter würde mich interessieren... *g* |
| Selected response from:
 Ralf Lemster
Germany
Local time: 14:56
| Grading comment Jaaaa, was soll ich dazu noch sagen - vielen Dank !!!
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