Futures Price Valuation - Equity Derivatives Provision: Difference between revisions
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{{eqderivsnap|6.8}} | {{eqderivsnap|6.8}} | ||
====Commentary==== | ====Commentary==== | ||
Where you price an {{eqderivprov|Index Swap}} or {{eqderivprov|Index Basket Swap}} by reference to an [[futures contract]] rather than the published price of the {{eqderivprov|Index}} itself. This requires you to designate not just the {{eqderivprov|Index}} to which the futures contract relates (which needless to say you'd be specifying anyway), but also the [[delivery month]] of the relevant [[futures contract]] and the exchange on which the futures contract is traded. | |||
====Related Provisions==== | ====Related Provisions==== | ||
Revision as of 17:28, 7 November 2012
Commentary
Where you price an Index Swap or Index Basket Swap by reference to an futures contract rather than the published price of the Index itself. This requires you to designate not just the Index to which the futures contract relates (which needless to say you'd be specifying anyway), but also the delivery month of the relevant futures contract and the exchange on which the futures contract is traded.