- This topic has 3 replies, 2 voices, and was last updated 8 years ago by
.
Viewing 4 posts - 1 through 4 (of 4 total)
- Posts
the scenario, it has tick size 0.01% tick value $25. The premium and gain on option, they don’t take 3/12. can you explain? thanks.
Have you watched the free lectures and as a result calculated the tick value?
The calculation of the tick value already includes the 3/12!The contract size is $1M, the tick size (as always for interest rate futures) is 0.01.
Therefore the value of a 1 tick movement on 1 contract is $1M x 0.01/100 x 3/12 = $25,There is never any need to use ticks in the exam (unless you want to) – I never do 🙂
Viewing 4 posts - 1 through 4 (of 4 total)
- The topic ‘Exam June'15 (Daikon Co.)’ is closed to new replies.