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Quantitative Finance · Glossaire

Qu'est-ce que « Daily settlement price » ?

Definition 18.4 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 18 — Futures Contracts and Their Exchanges

The daily settlement price is the price published by the exchange each day at which every open position is marked and variation margin is computed. It is determined by a rule, typically a volume-weighted average of trades in a short window, not by the last trade.

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