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Quantitative Finance · Glossaire

Qu'est-ce que « Location spread » ?

Definition 21.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 21 — Commodity Spreads

A location spread is the price difference between the same or nearly the same commodity at two delivery points, bounded in normal times by the cost of moving it between them and widened without bound when the transport capacity is full.

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