Static and dynamic margin: Difference between revisions

Static and dynamic margin (view source)

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Revision as of 11:17, 20 August 2021 (view source) Amwelladmin (talk \| contribs) No edit summary Tag: Visual edit ← Older edit		Latest revision as of 09:26, 12 January 2022 (view source) Amwelladmin (talk \| contribs) No edit summary
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	{{a\|~~eqderiv~~\|}}A technique that achieved some notoriety in the aftermath of the [[Archegos]] meltdown, but in the good old innocent days of TRS, especially before compulsory [[variation margin]], was really rather run-of-the-mill.		{{a\|spb\|}}A technique that achieved some notoriety in the aftermath of the [[Archegos]] meltdown, but in the good old innocent days of TRS, especially before compulsory [[variation margin]], was really rather run-of-the-mill.

	Where you have a “[[Bullet swap\|bullet]]” [[TRS]], being a [[delta-one]] [[equity derivative]] with a specified termination date, usually one or two years from inception, [[Initial margin]] would be calculated based on the notional value of the swap at inception and the estimated life of the trade and the expected volatility during that period.		Where you have a “[[Bullet swap\|bullet]]” [[TRS]], being a [[delta-one]] [[equity derivative]] with a specified termination date, usually one or two years from inception, [[Initial margin]] would be calculated based on the notional value of the swap at inception and the estimated life of the trade and the expected volatility during that period.