Investment Banking

Offering Price

November 9, 2021
Finance

Drop-Lock Floating-Rate Note

November 9, 2021

Share

The change in the delta of a convertible with a given downward move in the underlying share. It is typically determined by calculating the convertible’s fair value and delta then moving the share price downward to some level and recalculating the delta.

The change in the deltas is the downside gamma.

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