Ok, I finally figured that the LME options margining is equity-style as you pay the premium upfront. However, is there a reference showing that the early exercise for the LME options is not optimal and thus the LME options can be treated as European? (the LME options are indeed treated as European ...

Dear All, Just a quick question on LME options on futures. Are LME options on (base metals) futures equity-style margined or futures-style margined? I think they are futures-style margined, however I’m struggling to find a clear reference confirming this, even on the LME website. Thanks.

Is my understanding correct that  in case of stochastic interest rates (and continuous time and compounding) the FX forward price will be given by the interest rate parity

[$]F_0 = S_0 e^{(r_d-r_f)(T-t)}[$],

but FX futures prices is NOT equal to [$]F_0[$] (even though perhaps close to [$]F_0[$])??

Dear all, what would be the difference between FX forward and FX futures pricing formulas, both in continuous and discrete time, non-constant (but non-stochastic) interest rates?

Is there also a good reference briefly explaining this issue?

Your answers would be greatly appreciated.

What you say is true, indeed delta has to be on the value of the forward. 
How about futures though. Daily settlement changes the math, doesn't it? Ideas or references would be appreciated.

Dear all,

What is the rho for the currency futures contract? How does it differ from that of the currency forward contract?

Many thanks!

Dear all,

is ACT/ACT a separate day count convention? Or it's one of the ACT/ACT ISDA, ACT/ACT ICMA?

Btw, is there an easy-to-digest reference about the matrix method for bond pricing? Thanks a lot.

<t>I have also seen in some book that for Equity ETFs the underlying share prices participate in the price discovery of the Equity ETF price (via this formula NAV=((∑Shares∙Closing Price)∙FX rate + Cash - Liabilities) / (Number of ETF shares) )For Fixed Income on the other hand different pricing hou...

Dear all,How to compute the Net Asset Value (NAV) for a Fixed Income ETF?In case of an equity ETF the NAV is computed as NAV=((∑Shares∙Closing Price)∙FX rate + Cash - Liabilities) / (Number of ETF shares)What happens in case of a Fixed Income ETF?

Dear Gurus,Could you perhaps explain (or refer to a source of) how a typical electricity forward curve looks like please ?

<t>So in my understanding Flat compounding assumes that only the notional is multiplied with the floating rate plus spread, while the accrued interest is multiplied only with the floating rate.Straight compounding, on the other hand, implies that both the notional and the accrued interest are multip...