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 18.11.2019 1 0 4 306 -39.59000000 29.89000000 9.05000000 -28.49 21.51 6.51 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 18.11.2019 2 4 306 21 532 -39.59000000 29.89000000 9.05000000 -28.49 21.51 6.51 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 18.11.2019 3 21 532 -39.59000000 29.89000000 9.05000000 -28.49 21.51 6.51 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 22.11.2019 1 0 4 306 -92.89000000 69.22000000 20.59000000 -28.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 22.11.2019 2 4 306 21 532 -92.89000000 69.22000000 20.59000000 -28.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 22.11.2019 3 21 532 -92.89000000 69.22000000 20.59000000 -28.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 29.11.2019 1 0 4 306 -56.09000000 138.44000000 41.18000000 -8.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 29.11.2019 2 4 306 21 532 -56.09000000 138.44000000 41.18000000 -8.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 29.11.2019 3 21 532 -56.09000000 138.44000000 41.18000000 -8.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 16.12.2019 1 0 4 306 -124.20000000 306.55000000 91.17000000 -8.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 16.12.2019 2 4 306 21 532 -124.20000000 306.55000000 91.17000000 -8.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 16.12.2019 3 21 532 -124.20000000 306.55000000 91.17000000 -8.65 21.35 6.35 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 15.01.2020 1 0 4 306 -245.80000000 601.80000000 178.00000000 -8.70 21.30 6.30 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 15.01.2020 2 4 306 21 532 -245.80000000 601.80000000 178.00000000 -8.70 21.30 6.30 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 15.01.2020 3 21 532 -245.80000000 601.80000000 178.00000000 -8.70 21.30 6.30 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 17.02.2020 1 0 4 306 -379.65000000 926.49000000 273.42000000 -8.72 21.28 6.28 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 17.02.2020 2 4 306 21 532 -379.65000000 926.49000000 273.42000000 -8.72 21.28 6.28 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
AAPL 17.02.2020 3 21 532 -379.65000000 926.49000000 273.42000000 -8.72 21.28 6.28 13 524.54000000 16 905.68000000 14.11.2019 20:05:12
ABRD 18.11.2019 1 0 2 000 -0.32200000 0.24300000 0.07400000 -28.49 21.51 6.51 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 18.11.2019 2 2 000 2 001 -0.32200000 0.24300000 0.07400000 -28.49 21.51 6.51 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 18.11.2019 3 2 001 -0.32200000 0.24300000 0.07400000 -28.49 21.51 6.51 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 22.11.2019 1 0 2 000 -0.75500000 0.56300000 0.16700000 -28.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 22.11.2019 2 2 000 2 001 -0.75500000 0.56300000 0.16700000 -28.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 22.11.2019 3 2 001 -0.75500000 0.56300000 0.16700000 -28.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 29.11.2019 1 0 2 000 -0.45600000 1.12500000 0.33500000 -8.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 29.11.2019 2 2 000 2 001 -0.45600000 1.12500000 0.33500000 -8.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 29.11.2019 3 2 001 -0.45600000 1.12500000 0.33500000 -8.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 16.12.2019 1 0 2 000 -1.00900000 2.49100000 0.74100000 -8.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 16.12.2019 2 2 000 2 001 -1.00900000 2.49100000 0.74100000 -8.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 16.12.2019 3 2 001 -1.00900000 2.49100000 0.74100000 -8.65 21.35 6.35 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 15.01.2020 1 0 2 000 -1.99800000 4.89100000 1.44700000 -8.70 21.30 6.30 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 15.01.2020 2 2 000 2 001 -1.99800000 4.89100000 1.44700000 -8.70 21.30 6.30 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 15.01.2020 3 2 001 -1.99800000 4.89100000 1.44700000 -8.70 21.30 6.30 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 17.02.2020 1 0 2 000 -3.08600000 7.53000000 2.22200000 -8.72 21.28 6.28 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 17.02.2020 2 2 000 2 001 -3.08600000 7.53000000 2.22200000 -8.72 21.28 6.28 0.00000000 137.40200000 14.11.2019 20:05:12
ABRD 17.02.2020 3 2 001 -3.08600000 7.53000000 2.22200000 -8.72 21.28 6.28 0.00000000 137.40200000 14.11.2019 20:05:12
ACKO 18.11.2019 1 0 2 000 -0.01030000 0.00780000 0.00240000 -28.49 21.51 6.51 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 18.11.2019 2 2 000 2 001 -0.01030000 0.00780000 0.00240000 -28.49 21.51 6.51 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 18.11.2019 3 2 001 -0.01030000 0.00780000 0.00240000 -28.49 21.51 6.51 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 22.11.2019 1 0 2 000 -0.02420000 0.01800000 0.00540000 -28.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 22.11.2019 2 2 000 2 001 -0.02420000 0.01800000 0.00540000 -28.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 22.11.2019 3 2 001 -0.02420000 0.01800000 0.00540000 -28.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 29.11.2019 1 0 2 000 -0.01460000 0.03600000 0.01070000 -8.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 29.11.2019 2 2 000 2 001 -0.01460000 0.03600000 0.01070000 -8.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 29.11.2019 3 2 001 -0.01460000 0.03600000 0.01070000 -8.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 16.12.2019 1 0 2 000 -0.03230000 0.07970000 0.02370000 -8.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 16.12.2019 2 2 000 2 001 -0.03230000 0.07970000 0.02370000 -8.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 16.12.2019 3 2 001 -0.03230000 0.07970000 0.02370000 -8.65 21.35 6.35 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 15.01.2020 1 0 2 000 -0.06390000 0.15650000 0.04630000 -8.70 21.30 6.30 0.00000000 4.39690000 14.11.2019 20:05:12
ACKO 15.01.2020 2 2 000 2 001 -0.06390000 0.15650000 0.04630000 -8.70 21.30 6.30 0.00000000 4.39690000 14.11.2019 20:05:12