جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى CCP basis؟

Definition 10.5 Markets II: Rates, FX and Credit · الفصل 10 — Swap Clearing and the Clearing-House Basis

The CCP basis is the difference between the par rates of economically identical swaps cleared at two different clearing houses.

The running spread that pays for one one-way margined position, by maturity and funding spread, in the stylised model. A dealer with one-way positions at two houses needs twice as much. The basis grows with maturity, because margin is held for longer, but less than in proportion, because the margin runs off with the swap and later years are discounted. Data: the chapter’s tutorial.
Figure 10.4. The running spread that pays for one one-way margined position, by maturity and funding spread, in the stylised model. A dealer with one-way positions at two houses needs twice as much. The basis grows with maturity, because margin is held for longer, but less than in proportion, because the margin runs off with the swap and later years are discounted. Data: the chapter’s tutorial.
اقرأ في الفصل →