Skip to main content

Questions tagged [settlement]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
0 answers
83 views

Bond option price under hull-white model with different settlement and expiration dates

I am aware of bond option (lets say, call option) price formula under Hull-White model, for example, here - https://www.applied-financial-mathematics.de/sites/default/files/Teaching/...
Madhuresh's user avatar
0 votes
1 answer
88 views

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 ...
Clay ZHAI's user avatar
0 votes
0 answers
25 views

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 ...
John Zabroski's user avatar
0 votes
0 answers
173 views

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 ...
Adam's user avatar
  • 1
0 votes
0 answers
108 views

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 ...
Randor's user avatar
  • 796
2 votes
0 answers
62 views

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 ...
Luciano's user avatar
  • 151
2 votes
1 answer
741 views

Mortgage Backed Securities Settlement Date [closed]

How do settlement dates for non-TBA MBS work? Thanks, VVKK
VVKK77's user avatar
  • 149
0 votes
0 answers
72 views

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?
MainCom's user avatar
  • 281
2 votes
1 answer
191 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 ...
Daneel Olivaw's user avatar
0 votes
2 answers
340 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 ...
Betelgeux's user avatar
  • 103
0 votes
0 answers
57 views

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 ...
s5s's user avatar
  • 442