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: This is the forward price. 1175.125 This is the adjustment for bid/ask spread for = 23.5025 bought contracts. This is how much we consider the base price to be able to decrease. Contract price. 1170 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
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
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