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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 Turn؟

Definition 2.10 Markets II: Rates, FX and Credit · الفصل 2 — Money Markets

A turn is a date across which borrowing costs more, or lending earns less, than on the neighbouring days, because a balance sheet is measured on it: a quarter-end, and above all the year-end. The turn premium is the excess of the rate for that night over the rate for ordinary nights.

Daily take-up of the Federal Reserve’s overnight reverse repo facility, July 2022 to March 2023. The spikes are the quarter-ends (and, smaller, some month-ends): on the reporting dates banks and dealers take less of the funds’ cash and the facility takes the rest. The year-end spike, 245 billion in one day, is the largest. Data: Federal Reserve Bank of New York, via FRED series RRPONTSYD.
Figure 2.3. Daily take-up of the Federal Reserve’s overnight reverse repo facility, July 2022 to March 2023. The spikes are the quarter-ends (and, smaller, some month-ends): on the reporting dates banks and dealers take less of the funds’ cash and the facility takes the rest. The year-end spike, 245 billion in one day, is the largest. Data: Federal Reserve Bank of New York, via FRED series RRPONTSYD.
The rate of a one-week deposit by its start date, when ordinary nights earn 3.87% and the quarter-end night of 30 September earns 3.95%. Every deposit that spans the quarter-end costs 1.1 basis points more; the turn is priced for a week before it happens. Rates are illustrative. Data: the chapter’s tutorial.
Figure 2.4. The rate of a one-week deposit by its start date, when ordinary nights earn 3.87% and the quarter-end night of 30 September earns 3.95%. Every deposit that spans the quarter-end costs 1.1 basis points more; the turn is priced for a week before it happens. Rates are illustrative. Data: the chapter’s tutorial.
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