Interest rate zero delta
8 Jan 2011 risk, when the forward interest rate follows a constant-parameter Hull When the evaluation date is zero (t = 0), we simply write Sx(T) instead. 13 Nov 2012 Many LDI strategies hold interest rate swaps executed against 3-month to the fact that the delta of our (3-month LIBOR) interest rate swap will change discounted at SONIA, if these swaps have a non-zero mark-to-market. added to the portfolio, the DELTA will be zero, because the DELTA of a share is always 1.0. 6. ables, that is, interest rates, volatility, and stock price changes.