Daily Settlement Price for Interest Rate Futures contracts is the closing price of such contracts on the trading day. The closing price for an Interest Rate Futures contract is calculated on the basis of the last half an hour weighted average price of such contract.
In the absence of trades in the Interest Rate Futures contract in last half hour trading, theoretical futures price will be considered for computation of Daily Settlement Price in the following manner.
DSP = Cash Price + Financing cost – Income on cash position
Where; Cash Price = Clean Price + Accrued Interest
Clean Price will be as follows
- Weighted average price of underlying bond in last 2 hours of trading on NDS-OM
- If no trades are executed in the underlying bond then, a theoretical price provided by FIMMDA will be used.