[Quantlib-dev] Delta on CapFloor

[Andre L. <An...@de...>]

Hi,

I'm in a bit of a fix. 
I need to NUMERICALLY calculate the delta on a Black-type capfloor.
Calculating said on a specific caplet (in terms of the forward and in terms
of spot) the way I have it is:

	Delta(Forward) = eta * Normdist(d1)
	Delta(Spot) = eta * NormDist(d1) * df(Maturity) * yearFraction

However getting a total for the full strip of caplets is an unknown to me?
Do you base it on an average of all the caplets, I presume not?

Thanx

Andre
 
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