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by Islacanela
July 23rd, 2020, 2:25 pm
Forum: General Forum
Topic: LME options margining
Replies: 1
Views: 2890

Re: LME options margining

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 ...
by Islacanela
June 30th, 2020, 8:53 am
Forum: General Forum
Topic: LME options margining
Replies: 1
Views: 2890

LME options margining

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.
by Islacanela
May 26th, 2017, 12:06 pm
Forum: Student Forum
Topic: Valuing Currency Futures
Replies: 2
Views: 936

Re: Valuing Currency Futures

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 [$]F_0[$])??
by Islacanela
May 23rd, 2017, 1:24 pm
Forum: Student Forum
Topic: Valuing Currency Futures
Replies: 2
Views: 936

Valuing Currency Futures

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

Is there also a good reference briefly explaining this issue?

Your answers would be greatly appreciated.
by Islacanela
May 17th, 2017, 7:48 am
Forum: Student Forum
Topic: Valuing Currency Forward ???
Replies: 10
Views: 11216

Re: Valuing Currency Forward ???

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.
by Islacanela
February 8th, 2017, 12:43 pm
Forum: Student Forum
Topic: Greeks for the currency FX forward
Replies: 8
Views: 3184

Re: Greeks for the currency FX forward

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.
by Islacanela
November 25th, 2016, 3:14 pm
Forum: Student Forum
Topic: Greeks for the currency FX forward
Replies: 8
Views: 3184

Re: Greeks for the currency FX forward

Dear all,

What is the rho for the currency futures contract? How does it differ from that of the currency forward contract?
by Islacanela
November 25th, 2016, 3:11 pm
Forum: General Forum
Topic: Basic Accrued Interest Calculation for a Bond
Replies: 15
Views: 6106

Re: Basic Accrued Interest Calculation for a Bond

Many thanks!
by Islacanela
October 10th, 2016, 2:10 pm
Forum: General Forum
Topic: Basic Accrued Interest Calculation for a Bond
Replies: 15
Views: 6106

Re: Basic Accrued Interest Calculation for a Bond

I've come to the conclusion after some research online that there is ACT/ACT defined by ISDA; and ACT/ACT defined by ICMA . I think I'm right on this. If not, could someone please correct me? Thanks.
by Islacanela
October 7th, 2016, 4:02 pm
Forum: General Forum
Topic: Basic Accrued Interest Calculation for a Bond
Replies: 15
Views: 6106

Re: Basic Accrued Interest Calculation for a Bond

Dear all,

is ACT/ACT a separate day count convention? Or it's one of the ACT/ACT ISDA, ACT/ACT ICMA?
by Islacanela
April 14th, 2016, 9:57 am
Forum: General Forum
Topic: Fixed Income ETF NAV
Replies: 5
Views: 1989

Fixed Income ETF NAV

Btw, is there an easy-to-digest reference about the matrix method for bond pricing? Thanks a lot.
by Islacanela
April 14th, 2016, 9:46 am
Forum: General Forum
Topic: Fixed Income ETF NAV
Replies: 5
Views: 1989

Fixed Income ETF NAV

<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...
by Islacanela
April 7th, 2016, 12:48 pm
Forum: General Forum
Topic: Fixed Income ETF NAV
Replies: 5
Views: 1989

Fixed Income ETF NAV

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?
by Islacanela
February 25th, 2016, 4:03 pm
Forum: General Forum
Topic: Electricity (power) forward curves
Replies: 3
Views: 1621

Electricity (power) forward curves

Dear Gurus,Could you perhaps explain (or refer to a source of) how a typical electricity forward curve looks like please ?
by Islacanela
February 11th, 2016, 3:46 pm
Forum: Student Forum
Topic: Compounding And Averaging Swaps
Replies: 7
Views: 5254

Compounding And Averaging Swaps

<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...