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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 -
Madhuresh's user avatar
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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 ...
Clay ZHAI's user avatar
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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 ...
John Zabroski's user avatar
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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 ...
Adam's user avatar
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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 ...
Luciano's user avatar
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Mortgage Backed Securities Settlement Date [closed]

How do settlement dates for non-TBA MBS work? Thanks, VVKK
VVKK77's user avatar
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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?
MainCom's user avatar
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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 ...
Daneel Olivaw's user avatar
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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 ...
Betelgeux's user avatar
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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: For ...
s5s's user avatar
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