Re-strike: Difference between revisions
Amwelladmin (talk | contribs) (Created page with "{{a|eqderiv|}}Of a swap, to reset the notional based on the present value (in equity derivatives lingo, the {{eqderivpro...") |
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Latest revision as of 18:14, 3 August 2021
Equity Derivatives Anatomy™
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Of a swap, to reset the notional based on the present value (in equity derivatives lingo, the Final Price) of the underlier.
A useful little trick if you want to avoid being blown up by a fund like Archegos, because when you restrike, your static margin adjusts to the new notional value of the swap, makloing it a bit like dynamic margin.
Some swaps restrike on every Calculation Period end date; some only restrike if the notional moves more than say 20% from the Initial Price.