I am wondering, how do you price a open-ended repo (when a maturity date is not set)?
I have done some research and have found no formula's or even an explanation of how to value such a repo. In fact, I have not found a pricing model for a term repo either.
I am considering the security as the object being lent or borrowed and the loan amount (money) as the collateral.
By an open repo, I meant the one described by wikipedia:
Open has no end date which has been fixed at conclusion. Depending on the contract, the maturity is either set until the next business day and the repo matures unless one party renews it for a variable number of business days. Alternatively it has no maturity date - but one or both parties have the option to terminate the transaction within a pre-agreed time frame.