New answers tagged futures
Minimum price movement for Bobl is 1 basis point with a value of €10. Minimum price movement for Euribor is 0.5 basis point with a value of €12.50. This is usually called a half-tick. So a full-tick would have the value €25. With these definitions, a tick is a basis point move for both the Bobl and the Euribor.
I've ended up implementing a different model for -ve rates. I've used Bachelier's (Guassian) model that allows negative values. Most of the IR futures options are short-dated so model differences are within my tolerance.
This spread can't be statically synthesized. However you can synthesize it dynamically by trading in the underlying contracts. You would first value the option using standard theory (this involves solving a two-dimensional PDE, or using Monte Carlo) to get a price $V(F_1,F_2)$ in terms of the prices of the underlying futures contracts. Then the holdings in ...
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