Witch data uses CCP to compute initial and variation margin?

David-Molins's picture
Rank: Chimp | banana points 5

I want to compute the VaR of the Orange Juice [FCOJ-A] contract

But the problem is that there is no orange juice market price data (or at least I didn't found that) to compute Historical VaR (as frozen orange juice is the underlying asset).

Which data uses CCP to compute initial margin and variation of the underlying asset of the future contracts?

Comments (1)

Aug 8, 2018