September 2005
Intermediate to advanced
272 pages
9h 8m
English
Content preview from Clearing and Settlement of Derivatives
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an assumed worst case change in the price of the underlying asset.
Theoretical values are used to determine what a position will be
worth when the underlying asset value changes. Given a set of input
parameters (i.e., option contract specifics, interest rates, dividends
and volatility), the pricing model will predict what the position
should theoretically be worth at a specified price for the underlying
instrument.
The class group margin interval determines the maximum one-day
increase in the value of the underlying asset (upside) and the maxi-
mum one-day decrease in the value of the underlying asset (downside), ...
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