Template:M summ Equity Derivatives 6.8: Difference between revisions
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[[6.8 - Equity Derivatives Provision|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. | [[6.8 - Equity Derivatives Provision|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. | ||
Latest revision as of 16:54, 17 May 2022
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.
Note that valuation keys off the Official Settlement Price published by the Exchange on the Valuation Date, so you don’t need the Valuation Time concept.
Section 6.8(e) Non-Commencement or Discontinuance of the Exchange-traded Contract
Part of the greater flow of what you should do if you have a Index swap which you are hedging by reference to an Exchange-traded Contract. This part: what to do if the Exchange-traded Contract you are hedging with goes away, or — more ontologically challengingly, you would think — never existed in the first place.