option duration

[superstar123]

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!

 

[pimpineasy]

its easier if you look at it as
delta of option = (duration of opt * price of option)/(duration of underlying * price of
underlying_

 

[AMA]

It it that this is applicable to I/R option only ?

 

[hellscream]

Not only I/R. FX derivaties too

 

[AMA]

hellscream Wrote:
——————————————————-
> Not only I/R. FX derivaties too
But no duration for FX !

 

[deriv108]

could it test the duration of an equity swap? or swaption duration.

 

[hellscream]

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.

 

[dtrynoski]

What page did you find this on of CFA text? … and is there any mention of option beta?

 

[wangta01]

Option duration is mentioned in 30f - fixed income portfolio management II.

 

[alta168]

What is its actual applications ?