Description
Calculate a repo rate's signed difference from its supplied reference rate.
Financial market terms depend on quote conventions, contract multipliers, rate units, horizons and signed positions. A price gap, intrinsic value or linear sensitivity is a limited scenario term rather than an executable price or complete valuation. Variance, volatility, fractional rates and basis points are different quantities.
Calculate a repo rate's signed difference from its supplied reference rate.
When to use this tool
Use Repo Specialness Reference Rate Gap when checking the stated supplied market, valuation or exposure convention.
How to use the tool and how it works
- Enter generalCollateralRate, specialRepoRate. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read specialnessRateGap. Use the output convention below.
Return generalCollateralRate-specialRepoRate as a signed rate gap using the same rate and period convention.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| generalCollateralRate | General Collateral Rate | Required. Finite number. |
| specialRepoRate | Special Repo Rate | Required. Finite number. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| specialnessRateGap | Specialness Rate Gap | Required. Finite number. |
{
"input": {
"generalCollateralRate": 0.05,
"specialRepoRate": 0.02
},
"output": {
"specialnessRateGap": 0.030000000000000002
}
}Limitations and assumptions
- No current repo rate, security-specific availability, funding terms or arbitrage opportunity is retrieved or verified.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Use verified contract/market data and a complete suitable valuation and risk model with qualified financial advice for actual investment or trading decisions.
References
Similar or alternative tools
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