Динамические риск-параметры процентных рисков на фондовом рынке

Динамические риск-параметры процентных рисков на фондовом рынке

Инструмент Дата расчетов Диа-пазон Начало диапазона, шт. Конец диапазона, шт. Нижняя граница, руб. Верхняя граница, руб. Расчетная ставка РЕПО, руб. Нижняя граница, % Верхняя граница, % Расчетная ставка РЕПО, % Расчетная цена с учетом дисконта, руб. Расчетная цена (с НКД), руб. Дата и время фиксации/ изменения параметров
AAPL 22.01.2020 1 0 4 306 -15.57000000 11.27000000 3.22000000 -29.01 20.99 5.99 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 22.01.2020 2 4 306 21 532 -15.57000000 11.27000000 3.22000000 -29.01 20.99 5.99 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 22.01.2020 3 21 532 -15.57000000 11.27000000 3.22000000 -29.01 20.99 5.99 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 28.01.2020 1 0 4 306 -108.64000000 79.25000000 22.89000000 -28.91 21.09 6.09 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 28.01.2020 2 4 306 21 532 -108.64000000 79.25000000 22.89000000 -28.91 21.09 6.09 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 28.01.2020 3 21 532 -108.64000000 79.25000000 22.89000000 -28.91 21.09 6.09 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 04.02.2020 1 0 4 306 -66.89000000 158.58000000 45.85000000 -8.90 21.10 6.10 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 04.02.2020 2 4 306 21 532 -66.89000000 158.58000000 45.85000000 -8.90 21.10 6.10 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 04.02.2020 3 21 532 -66.89000000 158.58000000 45.85000000 -8.90 21.10 6.10 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 20.02.2020 1 0 4 306 -143.82000000 339.33000000 97.76000000 -8.93 21.07 6.07 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 20.02.2020 2 4 306 21 532 -143.82000000 339.33000000 97.76000000 -8.93 21.07 6.07 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 20.02.2020 3 21 532 -143.82000000 339.33000000 97.76000000 -8.93 21.07 6.07 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 23.03.2020 1 0 4 306 -298.55000000 699.95000000 200.70000000 -8.97 21.03 6.03 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 23.03.2020 2 4 306 21 532 -298.55000000 699.95000000 200.70000000 -8.97 21.03 6.03 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 23.03.2020 3 21 532 -298.55000000 699.95000000 200.70000000 -8.97 21.03 6.03 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 20.04.2020 1 0 4 306 -434.83000000 1 014.61000000 289.89000000 -9.00 21.00 6.00 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 20.04.2020 2 4 306 21 532 -434.83000000 1 014.61000000 289.89000000 -9.00 21.00 6.00 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
AAPL 20.04.2020 3 21 532 -434.83000000 1 014.61000000 289.89000000 -9.00 21.00 6.00 15 675.52000000 19 594.40000000 20.01.2020 20:18:00
ABRD 22.01.2020 1 0 2 000 -0.11000000 0.07900000 0.02300000 -29.01 20.99 5.99 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 22.01.2020 2 2 000 2 001 -0.11000000 0.07900000 0.02300000 -29.01 20.99 5.99 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 22.01.2020 3 2 001 -0.11000000 0.07900000 0.02300000 -29.01 20.99 5.99 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 28.01.2020 1 0 2 000 -0.76500000 0.55800000 0.16100000 -28.91 21.09 6.09 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 28.01.2020 2 2 000 2 001 -0.76500000 0.55800000 0.16100000 -28.91 21.09 6.09 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 28.01.2020 3 2 001 -0.76500000 0.55800000 0.16100000 -28.91 21.09 6.09 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 04.02.2020 1 0 2 000 -0.47100000 1.11600000 0.32300000 -8.90 21.10 6.10 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 04.02.2020 2 2 000 2 001 -0.47100000 1.11600000 0.32300000 -8.90 21.10 6.10 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 04.02.2020 3 2 001 -0.47100000 1.11600000 0.32300000 -8.90 21.10 6.10 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 20.02.2020 1 0 2 000 -1.01300000 2.38900000 0.68800000 -8.93 21.07 6.07 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 20.02.2020 2 2 000 2 001 -1.01300000 2.38900000 0.68800000 -8.93 21.07 6.07 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 20.02.2020 3 2 001 -1.01300000 2.38900000 0.68800000 -8.93 21.07 6.07 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 23.03.2020 1 0 2 000 -2.10200000 4.92800000 1.41300000 -8.97 21.03 6.03 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 23.03.2020 2 2 000 2 001 -2.10200000 4.92800000 1.41300000 -8.97 21.03 6.03 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 23.03.2020 3 2 001 -2.10200000 4.92800000 1.41300000 -8.97 21.03 6.03 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 20.04.2020 1 0 2 000 -3.06100000 7.14300000 2.04100000 -9.00 21.00 6.00 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 20.04.2020 2 2 000 2 001 -3.06100000 7.14300000 2.04100000 -9.00 21.00 6.00 0.00000000 137.95500000 20.01.2020 20:18:00
ABRD 20.04.2020 3 2 001 -3.06100000 7.14300000 2.04100000 -9.00 21.00 6.00 0.00000000 137.95500000 20.01.2020 20:18:00
ACKO 22.01.2020 1 0 2 000 -0.00480000 0.00350000 0.00100000 -29.01 20.99 5.99 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 22.01.2020 2 2 000 2 001 -0.00480000 0.00350000 0.00100000 -29.01 20.99 5.99 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 22.01.2020 3 2 001 -0.00480000 0.00350000 0.00100000 -29.01 20.99 5.99 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 28.01.2020 1 0 2 000 -0.03370000 0.02460000 0.00710000 -28.91 21.09 6.09 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 28.01.2020 2 2 000 2 001 -0.03370000 0.02460000 0.00710000 -28.91 21.09 6.09 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 28.01.2020 3 2 001 -0.03370000 0.02460000 0.00710000 -28.91 21.09 6.09 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 04.02.2020 1 0 2 000 -0.02070000 0.04920000 0.01420000 -8.90 21.10 6.10 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 04.02.2020 2 2 000 2 001 -0.02070000 0.04920000 0.01420000 -8.90 21.10 6.10 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 04.02.2020 3 2 001 -0.02070000 0.04920000 0.01420000 -8.90 21.10 6.10 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 20.02.2020 1 0 2 000 -0.04460000 0.10530000 0.03030000 -8.93 21.07 6.07 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 20.02.2020 2 2 000 2 001 -0.04460000 0.10530000 0.03030000 -8.93 21.07 6.07 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 20.02.2020 3 2 001 -0.04460000 0.10530000 0.03030000 -8.93 21.07 6.07 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 23.03.2020 1 0 2 000 -0.09260000 0.21710000 0.06230000 -8.97 21.03 6.03 0.00000000 6.07800000 20.01.2020 20:18:00
ACKO 23.03.2020 2 2 000 2 001 -0.09260000 0.21710000 0.06230000 -8.97 21.03 6.03 0.00000000 6.07800000 20.01.2020 20:18:00