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An increase in open interest along with an increase in price is said by proponents of technical analysis [4] to confirm an upward trend. Similarly, an increase in open interest along with a decrease in price confirms a downward trend. An increase or decrease in prices while open interest remains flat or declining may indicate a possible trend ...
Futures are margined daily to the daily spot price of a forward with the same agreed-upon delivery price and the underlying asset (based on mark to market). Forwards do not have a standard. More typical would be for the parties to agree to true up, for example, every quarter.
Open interest (futures) is the number of "open" contracts or open interest of derivatives in the futures market. Open interest in a derivative is the sum of all contracts that have not expired, been exercised or physically delivered. Moreover, the open interest is the number of long positions or, equivalently, the number of short positions.
Assume that there exists a continuously-compounded risk-free interest rate > and a constant stock's volatility >. Assume that the time to maturity is T > 0 {\displaystyle T>0} , and that we will price the option at time t < T {\displaystyle t<T} , although the life of the option started at time zero.
An interest rate future is a futures contract (a financial derivative) with an interest-bearing instrument as the underlying asset. [1] It is a particular type of interest rate derivative . Examples include Treasury-bill futures, Treasury-bond futures and Eurodollar futures.
The payoff at maturity depends not just on the value of the underlying instrument at maturity, but also on its value at several times during the contract's life (for example an Asian option depending on some average, a lookback option depending on the maximum or minimum, a barrier option which ceases to exist if a certain level is reached or ...
A zero coupon swap (ZCS) [1] is a derivative contract made between two parties with terms defining two 'legs' upon which each party either makes or receives payments. One leg is the traditional fixed leg, whose cashflows are determined at the outset, usually defined by an agreed fixed rate of interest.
Rainbow option is a derivative exposed to two or more sources of uncertainty, [1] as opposed to a simple option that is exposed to one source of uncertainty, such as the price of underlying asset. The name of rainbow comes from Rubinstein (1991), [ 2 ] who emphasises that this option was based on a combination of various assets like a rainbow ...