Required margin for bought contracts. Required margin for sold contracts. Bought Contracts where means rounding to 2 decimals. The result is rounded to the nearest integer. Example: Consider a fictive position with 1 bought Sept. OMX forward 1170 using variable valuation interval with the following variables and parameters: FP = 1175.125 = 13% 1171.45 BV = 1171.45 = 2% 1175.125 CP = 1170 CM = 100 P = 1 Since the margin requirements for forwards is a linear function of the base price, we know that the extreme points of a single contract are always situated at the endpoints of the interval. The case where we have the lowest base price is investigated. The margins for this point would be: Let us investigate this equation. The outer parentheses contain four terms: 1175.125 This is the forward price. = 23.5025 This is the adjustment for bid/ask spread for bought contracts. This is how much we consider the base price to be able to decrease. 1170 Contract price. Sold Contracts where means rounding to 2 decimals. The result is rounded to the nearest integer. Example: A similar fictive position, but this time 1 sold Sept. OMX Future 1170 with the following variables and parameters: FP = 1175.125 = 13% 1171.45
Settlement Days for Swap Number of settlement days for Applies only to swaps. Settlement days for settlement margin How many settlement days that will be used for a series expiring today. This parameter is only used for Margin Simulation. Preliminary Fixing on Day before Closing Select if preliminary closing on day before closing should be used. Normal = No. Applies only to Options and Forwards. Calculate Margin Select if margin requirement should be calculated. Normal value is . The value can be set to for an instrument where margin requirements are not calculated within the system. Applies to all instruments. Position Select if position should be printed in Margin and Position List. Normal value is Yes. The value can be set to No if instruments where margin requirements are not calculated within the system, also should not appear on the Margin and Position list. Applies only to instruments with Calculate Margin unmarked. Guard price movements Select if price movements for futures should be guarded during intra day margin calculations. Maximum allowed price movement is guarded by the user risk parameter Allowed price movements, Applies only to futures. Option Underlying Base 1 Specify on what to base the valuation of options. See explanation in section . Applies only to options. Option Underlying Base 2 Specify the fallback for option valuation if the base 1 method fails. See explanation in section Applies only to options.
Interest Rate There are a number of different interest rates in related literature. But when dealing with pricing options we use continuously compounded interest rates. Continuous Interest Rate (A.1.1) This makes it possible to alter the interest rates on a daily basis during the time . Usually this rate is assumed to be constant during this time. (A.1.2) Periodical Interest Rate (Simple Interest Rate) Suppose that the rate is being paid after a period of . During this period we get an interest rate of . The important thing is that we do not receive any interest during this period. (A.1.3) Effective Interest Rate In this case the interest is paid periodically. The length of the period could be anything, but is expressed in years. (A.1.4) Translation Between Simple and Continuous Interest Rate A simple interest rate, for example the user risk parameters for risk free interest rate and dividend yield, is converted to continuous interest rate in the following way: (A.1.5) T equals time between evaluation and expiration day (actual/).