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  1. Architecture
  2. Post-Match Processing
  3. Collateral Optimization Engine
  4. Portfolio Collateralization

Example 1

Portfolio:

Product

Underlying

Strike

Quantity

Call

WETH/USDC

2200

-1

Call

WETH/USDC

2300

2

Call

WETH/USDC

2400

-4

  1. If WETH β†’ ∞, WETH collateral required 3ETH

  2. USDC collateral at specific WETH prices at expiry:

ETH Price @ Expiry

ETH Price @ Expiry

ETH Price @ Expiry

ETH Price @ Expiry

Product

Underlying

Strike

Quantity

0

2200

2300

2400

Call

WETH/USDC

2200

-1

0

0

-100

-200

Call

WETH/USDC

2300

2

0

0

0

200

Call

WETH/USDC

2400

-4

0

0

0

0

Collateral Required

0

0

-100

0

  1. Compute 1) – 2):

WETH Price @ Expiry

WETH Price @ Expiry

WETH Price @ Expiry

WETH Price @ Expiry

0

2200

2300

2400

USDC equiv of 3 ETH

6600

6900

7200

USDC collateral required

0

-100

0

Net amount

6600

6800

7200

No USDC collateral required

  1. Total collateral required = 3 ETH

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Last updated 1 year ago

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