82,853
edits
Amwelladmin (talk | contribs) No edit summary |
Amwelladmin (talk | contribs) No edit summary |
||
Line 1: | Line 1: | ||
{{eqderivanat|6.2}} | {{eqderivanat|6.2}} | ||
===Where is the {{eqderivprov|Calculation Period}} under the {{eqderivdefs}}=== | |||
Ok so this is a bit of a trick question. There is ''no'' “{{eqderivprov|Calculation Period}}” in the {{eqderivdefs}} — that is instead defined in the [[2006 ISDA Definitions]]. In the {{eqderivdefs}}, the periods for Equity calculations are handled by the “{{eqderivprov|Valuation Date}}” concept. | |||
That in turn determines the “{{eqderivprov|Cash Settlement Payment Date}}” (for cash-settled {{eqderivprov|Equity Swap Transaction}}s) and “{{eqderivprov|Settlement Date}}” (for [[Physical settlement|physically settled]] ones). | |||
You may see a {{eqderivprov|Calculation Period}} on the [[Floating leg|Floating]] leg of an {{eqderivprov|Equity Swap}} though - that will be a reference to the [[2006 ISDA Definitions]]. | |||
===[[Synthetic prime brokerage]]=== | ===[[Synthetic prime brokerage]]=== | ||
The {{eqderivprov|Valuation Date}} comes in handy if you are restriking your {{isdaprov|Transaction}}s periodically, as you are likely to be doing if you are providing [[synthetic prime brokerage]] — being as it is, an undated [[delta-one]] exposure to equities delivered through an equity derivative. Your [[prime broker]] will not want to run indeterminate exposures to shares, even if it is collateralised daily, so restriking the transactions periodically can zero out whatever the residual risk is in the paranoid eyes of your financial controllers. | The {{eqderivprov|Valuation Date}} comes in handy if you are restriking your {{isdaprov|Transaction}}s periodically, as you are likely to be doing if you are providing [[synthetic prime brokerage]] — being as it is, an undated [[delta-one]] exposure to equities delivered through an equity derivative. Your [[prime broker]] will not want to run indeterminate exposures to shares, even if it is collateralised daily, so restriking the transactions periodically can zero out whatever the residual risk is in the paranoid eyes of your financial controllers. |