Timeline for Correct Discount Curve for Exchange Traded (Centrally Cleared) Products
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 2, 2019 at 1:06 | answer | added | JoshK | timeline score: 1 | |
| Sep 1, 2019 at 18:00 | history | tweeted | twitter.com/StackQuant/status/1168222028127789057 | ||
| Sep 1, 2019 at 15:54 | vote | accept | Jared | ||
| Sep 1, 2019 at 15:54 | answer | added | Jared | timeline score: 1 | |
| Aug 11, 2019 at 22:10 | comment | added | Jared | @will yes they are, also centrally cleared | |
| Aug 11, 2019 at 11:04 | comment | added | will | @jared are the options margined? | |
| Aug 10, 2019 at 20:38 | history | edited | Jared | CC BY-SA 4.0 |
added 249 characters in body
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| Aug 8, 2019 at 12:30 | comment | added | Jared | In both cases, I am doing research on the options market written on the future and on the equity (the hypothetical stock with peculiar repo curves). I think this is the same discount curve for the options and the underlying (due to risk-neutral pricing and the change of numéraire). | |
| Aug 7, 2019 at 17:33 | comment | added | Attack68♦ | what are you discounting? S&P500 futures are immediate instruments, if you buy at 2850 and sell hours later at 2900 the gain is paid immediately (end of day settlement). If you are inferring the discount factor used to price the instrument in the first place (i.e. why it is at 2850) then I suspect that is related to the industrial financing available on the basket of stocks. Much like a bond future is priced by considering the repo rate applicable to the underlying cheapest to deliver bond. | |
| Aug 6, 2019 at 16:43 | history | asked | Jared | CC BY-SA 4.0 |