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Futures Price Valuation - Equity Derivatives Provision: Difference between revisions
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Futures Price Valuation - Equity Derivatives Provision (view source)
Revision as of 12:30, 28 November 2017
, 28 November 2017no edit summary
Amwelladmin (talk | contribs) m (Text replace - "{{eqderivanatomy}}" to "{{anat|eqderiv}}") |
Amwelladmin (talk | contribs) No edit summary |
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{{eqderivsnap|6.8}} | {{fullanat|eqderiv|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. | 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}}. | Note {{eqderivprov|6.8(d)}} is identical to the text of {{eqderivprov|6.7(d)}}, except that that relates to {{eqderivprov|Averaging}}. | ||