Valuation models
Perpetual futures
Linear (stablecoin-margined) and inverse (coin-margined) perpetual swaps, unrealised P&L at the mark, premium to the index, the next funding payment and expected funding over a horizon with funding mean-reverting to its baseline, leverage and the liquidation price at the maintenance margin.
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Methodology
Conventions
- Linear contracts: P&L = coins × (mark − entry), margined in the quote currency.
- Inverse contracts: P&L = face × (1/entry − 1/mark) coins, margined in coins.
- Funding is paid by longs to shorts when positive; the expected path decays from the current rate to the baseline.
- Liquidation where equity falls to the maintenance margin on the notional.
References
- Ackerer, Hugonnier and Jermann (2024)
- BitMEX perpetual contracts guide
Formulas
- Funding path
- f_{k+1} = f̄ + (f_k − f̄) e^(−κΔt)