SERVING THE QUANTITATIVE FINANCE COMMUNITY

bloodynri
Topic Author
Posts: 5
Joined: June 15th, 2011, 12:27 pm

### Margin calculation when collateral is in different currency

To trade BTC, if USD is required as collateral, how does the margin model need to change if instead of USD, we start accepting other cryptocurrencies such as ETH. How does correlation between BTC and ETH get involved?

lassethegreat
Posts: 7
Joined: April 19th, 2010, 10:15 pm

### Re: Margin calculation when collateral is in different currency

I am also interested in this..

BTW.: What margin model are you using now? This is my first time to build a margin model.

DavidJN
Posts: 1738
Joined: July 14th, 2002, 3:00 am

### Re: Margin calculation when collateral is in different currency

Think of it as a cheapest to deliver option.