1. The following conversion methods shall be applied to the non-exhaustive list below of standard derivatives:
(a) Futures
- Bond future: Number of contracts * notional contract size * market price of the cheapest-to-deliver reference bond
- Interest rate future: Number of contracts * notional contract size
- Currency future: Number of contracts * notional contract size
- Equity future: Number of contracts * notional contract size * market price of underlying equity share
- Index futures: Number of contracts * notional contract size * index level
(b) Plain vanilla options (bought/sold puts and calls)
- Plain vanilla bond option: Notional contract value * market value of underlying reference bond * delta
- Plain vanilla equity option: Number of contracts * notional contract size* market value of underlying equity share * delta
- Plain vanilla interest rate option: Notional contract value * delta
- Plain vanilla currency option: Notional contract value of currency leg(s) * delta
- Plain
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