Gamma

The Gamma result displays the change in the DV01 for a 1 basis point shift in the yield curve.

This is calculated as follows:

(DV01 after shifting the yield curve up by 10 basis points - current DV01) / 10

This result is displayed in the Single Option pageCurrently in the Single Option page the Gamma result is not displayed for the following instruments—cross currency swap, inflation swap, swaption strategies and cap strategies (i.e., straddle, collar, strangle, spread), digital cap/floor, digital range cap/floor, KI cap/floor, and KO cap/floor.1, the Risk Matrix, and in the Gamma Ladder Window.

The result displayed is the total gamma for the current instrument. That is, for instruments with underlying legs you do not see the gamma for each underlying leg separately.

For use in the Risk Matrix tool and the Gamma Ladder Window only, you can change the default definition of this Greek. You do this in the Settings window > Greeks tab. For more information see Customizing the Greeks Calculations.