Whether, data like delta, gamma, etc are required for calculation of Value at Risk ?
Does following means closing price (or opening price, MAP, on the basis of which MTM will be calculated?
- prices of Futures;
- prices of Listed Options;
- Commodities prices.
I understand, market data will update FW17 (for futures) and FC17 for comodity forwads.. Correct?
---
MG.