Common Contracts
1 similar Cross-Margining Agreement contracts
CROSS-MARGINING AGREEMENTCross-Margining Agreement • March 23rd, 2016 • New York
where FOM is the Figure-of-Merit, N is the total number of delta equivalents in the strip, D is the depth of the strip, n is the number of delta equivalents in the ith expiry month, and q is the serial number of the ith expiry quarter (q ranges from 1 to a maximum of 40). The depth of a strip is the serial number of the expiry quarter of the most-deferred contract in the strip . The Treasury Equivalent (TE) of the jth long strip is:
