we calculate the delta as change in NPV for 1% change in spot * 100. Would bumping up the forward price by same 1% produce the same results? I'm assuming F = S *exp(... ) or it's too simplifying assuming dividends?
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1$\begingroup$ Do you mean computing delta as finite difference? If so, as long as you have $F \neq S$, bumping F by 1% will not be identical to bumping S by 1 %. Side remark, you wouldn't usually just bump up but use something like this. $\endgroup$– AKdemyCommented Aug 30, 2023 at 15:43
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$\begingroup$ yes, using central difference per wiki , but can you please elaborate on "as long as you have F≠S , bumping F by 1% will not be identical to bumping S by 1 %.? $\endgroup$– gregVCommented Sep 1, 2023 at 15:06
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1$\begingroup$ Well, a 1% bump of a value of 100 isn't the same as a 1% bump of 99.5 for example. $\endgroup$– AKdemyCommented Sep 1, 2023 at 22:40
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