Futures Price Valuation - Equity Derivatives Provision: Difference between revisions

Futures Price Valuation - Equity Derivatives Provision (view source)

619 bytes removed , 1 October 2023

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-{{fullanat|eqderiv|6.8|}}
+{{eqdmanual|6.8}}
-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.
-Note {{eqderivprov|6.8(d)}} is identical to the text of {{eqderivprov|6.7(d)}}, except that that relates to {{eqderivprov|Averaging}}.