Questions tagged [settlement]
The settlement tag has no usage guidance.
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Why historical data of futures contract price include data after settlement date of the contracts?
I am studying historical data of futures contract prices. I found there are price data after the settlement date of the contract. For example, for Hang Seng Futures with expiry date of Jun, there are ...
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How do back office systems calculate warrant average net price?
I encountered an interesting formula a vendor gave me for how they calculate Average Net Price:
Average Px = Weighted Average Price
Average Px (Net) = (abs(warrant principal) + signed Fees and ...
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SPX AM vs PM Reg T (T+1) Cash Settlement Dates
Assuming I have two SPX options expiring the third Friday of a normal month with no holidays around. One (SPX) option has an AM settlement while the other (SPXW) has a PM settlement. The last trading ...
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when valuing derivatives, we take into account the CSA. question is, should settlement currency also impact?
eg supposing i have a payoff of 100 GBP on 5/5/2025.
and my CSA is USD SOFR.
and supposing i have another identical derivative, except it's payoff is 100 * GBPUSD spot (in USD) at 5/5/2025
or that its ...
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Is Gregorian Calendar Ubiqutous in quant finance?
I'm curious to know if there are any organised exchanges where the Gregorian calendar is not used for valuation or as a settlement calendar?
Islamic and Hebrew calendars come to mind, but I wonder ...
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Mortgage Backed Securities Settlement Date [closed]
How do settlement dates for non-TBA MBS work?
Thanks,
VVKK
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Settlement price of SPX
How would the settlement price of SPX be determined if market is closed on the expiration date due to natural disasters/terrorist attacks?
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Operational aspects of repo funding trades
It is widely known that repurchase agreements ("repos") are regularly used by market participants as a mean to fund long/short positions in a certain asset, in particular for derivative ...
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How to get commodity futures settlement timepoints?
I need to find some easy approach to get the daily settlement times (not the exact milisecond, just the general rule hh:mm) for multiple commodity futures (agriculture, metals, energy) on multiple ...
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CME Metals Settlement methodology
I'm reading the docs on CME Metal's settlement methodology and looking at the examples section: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Metals+Futures+Settlement+Algorithm+Examples
For ...
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