# Tag Info

0

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.

0

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.

2

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 ...

Top 50 recent answers are included