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Quantitative Finance · Glossaire

Qu'est-ce que « Target redemption forward » ?

Definition 20.6 Derivatives and Volatility · Chapitre 20 — FX Derivatives

A target redemption forward (TARF) is a strip of forward contracts at an enhanced strike, one per fixing date, that terminates once the client’s accumulated gains reach a target. Fixings on the unfavourable side of the strike are settled on a leveraged notional (typically twice), with no limit on the losses.

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