Enum PerpetualFuturesFundingType

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

A perpetual futures contract's funding type: the cash flow at t + 1, with x the spot, f the futures price, fr the funding rate and i the interest-rate difference.

public enum PerpetualFuturesFundingType

Fields

FundingWithCurrentSpot = 1

f(t+1) − f(t) − fr(t)·x(t+1)·(f(t) − x(t))/x(t) − i(t)·x(t+1).

FundingWithPreviousSpot = 0

f(t+1) − f(t) − fr(t)·(f(t) − x(t)) − i(t)·x(t).