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 23.09.2019 1 0 4 306 -32.86000000 25.55000000 8.02000000 -28.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 23.09.2019 2 4 306 21 532 -32.86000000 25.55000000 8.02000000 -28.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 23.09.2019 3 21 532 -32.86000000 25.55000000 8.02000000 -28.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 27.09.2019 1 0 4 306 -76.72000000 59.55000000 18.67000000 -28.15 21.85 6.85 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 27.09.2019 2 4 306 21 532 -76.72000000 59.55000000 18.67000000 -28.15 21.85 6.85 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 27.09.2019 3 21 532 -76.72000000 59.55000000 18.67000000 -28.15 21.85 6.85 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 04.10.2019 1 0 4 306 -44.37000000 119.16000000 37.39000000 -8.14 21.86 6.86 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 04.10.2019 2 4 306 21 532 -44.37000000 119.16000000 37.39000000 -8.14 21.86 6.86 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 04.10.2019 3 21 532 -44.37000000 119.16000000 37.39000000 -8.14 21.86 6.86 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 21.10.2019 1 0 4 306 -98.13000000 263.98000000 82.92000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 21.10.2019 2 4 306 21 532 -98.13000000 263.98000000 82.92000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 21.10.2019 3 21 532 -98.13000000 263.98000000 82.92000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 20.11.2019 1 0 4 306 -193.10000000 519.44000000 163.17000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 20.11.2019 2 4 306 21 532 -193.10000000 519.44000000 163.17000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 20.11.2019 3 21 532 -193.10000000 519.44000000 163.17000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 20.12.2019 1 0 4 306 -288.06000000 774.90000000 243.42000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 20.12.2019 2 4 306 21 532 -288.06000000 774.90000000 243.42000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
AAPL 20.12.2019 3 21 532 -288.06000000 774.90000000 243.42000000 -8.13 21.87 6.87 11 369.42000000 14 211.78000000 19.09.2019 20:21:55
ABRD 23.09.2019 1 0 2 000 -0.31400000 0.24400000 0.07700000 -28.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 23.09.2019 2 2 000 2 001 -0.31400000 0.24400000 0.07700000 -28.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 23.09.2019 3 2 001 -0.31400000 0.24400000 0.07700000 -28.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 27.09.2019 1 0 2 000 -0.73400000 0.56900000 0.17900000 -28.15 21.85 6.85 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 27.09.2019 2 2 000 2 001 -0.73400000 0.56900000 0.17900000 -28.15 21.85 6.85 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 27.09.2019 3 2 001 -0.73400000 0.56900000 0.17900000 -28.15 21.85 6.85 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 04.10.2019 1 0 2 000 -0.42400000 1.13900000 0.35800000 -8.14 21.86 6.86 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 04.10.2019 2 2 000 2 001 -0.42400000 1.13900000 0.35800000 -8.14 21.86 6.86 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 04.10.2019 3 2 001 -0.42400000 1.13900000 0.35800000 -8.14 21.86 6.86 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 21.10.2019 1 0 2 000 -0.93800000 2.52400000 0.79300000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 21.10.2019 2 2 000 2 001 -0.93800000 2.52400000 0.79300000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 21.10.2019 3 2 001 -0.93800000 2.52400000 0.79300000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 20.11.2019 1 0 2 000 -1.84600000 4.96700000 1.56000000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 20.11.2019 2 2 000 2 001 -1.84600000 4.96700000 1.56000000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 20.11.2019 3 2 001 -1.84600000 4.96700000 1.56000000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 20.12.2019 1 0 2 000 -2.75500000 7.41000000 2.32800000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 20.12.2019 2 2 000 2 001 -2.75500000 7.41000000 2.32800000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ABRD 20.12.2019 3 2 001 -2.75500000 7.41000000 2.32800000 -8.13 21.87 6.87 0.00000000 135.89800000 19.09.2019 20:21:55
ACKO 23.09.2019 1 0 2 000 -0.01200000 0.00930000 0.00290000 -28.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 23.09.2019 2 2 000 2 001 -0.01200000 0.00930000 0.00290000 -28.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 23.09.2019 3 2 001 -0.01200000 0.00930000 0.00290000 -28.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 27.09.2019 1 0 2 000 -0.02810000 0.02180000 0.00680000 -28.15 21.85 6.85 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 27.09.2019 2 2 000 2 001 -0.02810000 0.02180000 0.00680000 -28.15 21.85 6.85 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 27.09.2019 3 2 001 -0.02810000 0.02180000 0.00680000 -28.15 21.85 6.85 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 04.10.2019 1 0 2 000 -0.01620000 0.04360000 0.01370000 -8.14 21.86 6.86 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 04.10.2019 2 2 000 2 001 -0.01620000 0.04360000 0.01370000 -8.14 21.86 6.86 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 04.10.2019 3 2 001 -0.01620000 0.04360000 0.01370000 -8.14 21.86 6.86 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 21.10.2019 1 0 2 000 -0.03590000 0.09650000 0.03030000 -8.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 21.10.2019 2 2 000 2 001 -0.03590000 0.09650000 0.03030000 -8.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 21.10.2019 3 2 001 -0.03590000 0.09650000 0.03030000 -8.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 20.11.2019 1 0 2 000 -0.07060000 0.18990000 0.05970000 -8.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55
ACKO 20.11.2019 2 2 000 2 001 -0.07060000 0.18990000 0.05970000 -8.13 21.87 6.87 0.00000000 5.19610000 19.09.2019 20:21:55