Rolling the Pricing Period to a Different Period For Ratios

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The data entry is the same as for ratio pricing, except that you select Roll from the drop-down box instead of Price (just like for premium based contracts).

 

Under the Risk tab of a ratio priced contract, select the light blue area to edit Rolling/Pricing.

 

Ratio_rolling

 

You can change the quantity to a lower amount (default is max) and change the number of lots (default is calculated).

 

For premium-based contracts, there is a field for the rolling price (used to calculate an adjusted premium). For ratio-based contracts, that field is used to manually enter the adjusted contract ratio to apply for pricings in the rolled period.

 

When the rolling is saved/applied, the same hedge requirement is created as for premium based, but based on the number of lots specified by you.