Questions tagged [settlement]

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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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228 views

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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91 views

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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55 views

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 ...