Derivatives · glossary
What a new trade is worth at the close of its first day. Atlas's swap showed €20,000 in the bank's favour, which was the bank's dealing spread inside the fixed rate. It is a value, not a bill, and nothing is payable. Chapter 6 · Chapter 9
Explained in Chapter 6, Trade Date: the Confirmations, Line by Line, of Derivatives.
This figure is called the day-one value. File the statement as a value, with its date and the name of whoever made it, and never as a bill. Chapter 9 shows how such a value is built.Read Chapter 6, Trade Date: the Confirmations, Line by Line →
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