0
$\begingroup$

I am trying to understand the Contract value for DI1 futures on bloomberg. I assume the Price of 4.630 below is the CDI one day interest rate. Where does the Tick value of 9.6169 come from and how does "Contract Value" of 95,334 gets computed?

enter image description here

Based on this post: DI futures questions on formulas in spec

Can I say that daily margin should be 171.24 in this case ?

DM = 95,334 - (95,334 * ((1 + 4.63/100) exp (1/252)))

$\endgroup$
2

1 Answer 1

3
$\begingroup$

You're talking about the future Bloomberg calls 'ODA Comdty' (e.g. 'ODF21 Comdty'), and the BMF exchange calls DI1. It uses a non-linear contract multiplier. To convert from the quoted price to the notional contract value, you have to use the equation defined by the exchange, which is here:

http://www.bmf.com.br/bmfbovespa/pages/contratos2/pdf/IDfutures.pdf

This guidebook by Henrard has other helpful info:

https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2128257 Interest Rate Instruments and Market Conventions Guide OpenGamma Quantitative Research, First Edition, April 2012 51 Pages; Posted: 13 Aug 2012; by Marc P. A. Henrard Date Written: April 2, 2012

Finally, here are my own notes about the equation from the exchange:

The quoted futures price, "shall be expressed as a percentage rate per annum compounded daily based on a 252-day year, to three decimal places."

The underlying is, "The interest rate compounded until the contract's expiration date, for this purpose defined as the capitalized daily ID [Interbank Deposit] rates verified on the period between the trade date and the last trading day."

"On the expiration date, the settlement price shall be 100,000."

The doc gives these pricing formulas:

  • PU = Unit Price, The value, in points, corresponding to 100,000, discounted by the interest rate defined in item 2 [the underlying].
  • AD_t = the daily settlement value in Reals. [variation margin]
  • AD_t = (PA_t - PO)MN For a position initiated today.
  • PA_t = the contract settlement price on day t, for the respective contract month.
  • PO = 1e5 / ((1 + i/100)^(n/252)) = the trading price in PU.
  • i = the traded interest rate.
  • n = the number of reserves verified between the trade date and the day preceding the expiration date.
  • M = the Real value of each unit price point, as established by BM&F.
  • N = the number of contracts.
  • Reserve = A business day for the purpose of [...]

So AFAICT PA_t is just that day's close price in the same units as the PO trading price. But note that we need to know the contract expiration date, and we need to know the full trading calendar on the BMF exchange between now and then!

$\endgroup$
1
  • $\begingroup$ Anbima's list of Brazilian holidays (feriados.xls) is widely used to count trading days for BMF Futures contracts such as the DI1. anbima.com.br/feriados/feriados.asp $\endgroup$
    – SuavestArt
    Aug 29, 2023 at 22:39

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.