Derivatives

Concerns analytics Aladdin calculations for level 1 metrics, related to price, quantity and market values.

1. Market value

   $$MV = Qp/100$$

2. Market value (Futures)

   $$MV = 0$$

3. Notional Market value (rates SWAP, CDX SWAP/SWAP SWAP/CDSWAP )

   $$NMV = Q(1+p/100)$$

4. Notional Market value (Equity TRS SWAP/TRSWAP)

   $$NMV = Q(\text{Last Level}) p$$

5. Notional Market value (Equity Future FUTURE)

   $$NMV = Q(\text{Contract size}) p$$

6. Notional Market value (Rates Future FUTURE)

   $$NMV = Q(\text{Contract size}) p/100$$

7. Notional Market value (Swaption SYNTH)

   $$NMV = Q(p+\text{Fwd Prem Price})/100$$