New answers tagged derivatives
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Constructing payoff with options
This is essentially some form of commodity-linked structured note (this case being oil). In this case, such a structured is a Leveraged Participation note with Cap in industry lingo.
In terms of how ...
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Calculating key dates for a Forward Starting Interest Rate Swap versus a Spot IRS
If you trade a 10Y IRS, the second half of that IRS represents a 5Y5Y from the point of view of a swaps dealer.
If a swaptions dealer trades a 5Y5Y Swaption the 5Y swap that this refers to is measured ...
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Any other ways to hedge a bond portfolio against interest rate risk?
If you are long a bond and want to hedge it:
Sell the same bond.
Sell another bond.
Sell a bond future.
Pay a swap.
Buy a payer swaption.
Those are some basic methods. Ofcourse there are many ...
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Pricing look-back option
This problem is very strange, because the Smin can only be taken across a single path. For example, if you had say 100 in Dec 2020 and 105 in Jan 2021, the Smin will be 100. However, if you had 95 in ...
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Why historical data of futures contract price include data after settlement date of the contracts?
The Hang Seng futures June 2023 contract started trading on 13 June 2022. When no trading occurs, the exchange provides a daily settlement value. The first real trade occurred on 12 Aug 2022 (daily ...
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