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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
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Quantitative Finance · المسرد

ما معنى Linear, inverse and quanto contracts؟

يُعرف أيضًا باسم: linear contract · inverse contract · quanto contract

Definition 17.6 Markets III: Commodities, Energy and Crypto · الفصل 17 — Perpetual Futures

A linear contract is quoted and settled in the quote currency (a dollar or a stablecoin), its P&L linear in the price: q (S−E)q\,(S - E) for qq units bought at EE. An inverse contract has a fixed notional in the quote currency but is margined and settled in the underlying coin, so that NN contracts of one dollar each bought at EE earn N (1/E−1/S)N\,(1/E - 1/S) coins. A quanto contract is quoted on one asset but margined and settled in another at a fixed rate per unit of price move, so that its P&L in the settlement asset is N m (S−E)N\,m\,(S - E) for a multiplier mm, whatever the settlement asset’s price.

P&L in bitcoin of a long position of 60 000 one-dollar inverse contracts entered at USD 60 000 (): a fall to 30 000 costs a whole bitcoin, a rise to 120 000 gains only half of one. The curve lies below its tangent: a long inverse position is short convexity in coin. Data: the chapter’s tutorial.
Figure 17.3. P&L in bitcoin of a long position of 60 000 one-dollar inverse contracts entered at USD 60 000 (Proposition 17.7): a fall to 30 000 costs a whole bitcoin, a rise to 120 000 gains only half of one. The curve lies below its tangent: a long inverse position is short convexity in coin. Data: the chapter’s tutorial.
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