A computer implemented method and system for determining fair-value prices of a futures contract of index i having foreign constituent securities includes using a computer to receive electronic data for the inde
x = Days to the expiration of the futures contract Dividends = Amount of dividends until contract expiration expressed in terms of points on the S&P contract. Also read:What is materiality accounting & 5 practical examples Fair value vs historical cost Historical cost is the actual price at whic...
Home»Derivatives»What is Futures Fair Value? In the case of futures on equity indexes such as the S&P 500 contract, it is possible to make a careful computation of how much a futures contract should cost (in theory) based on the current market prices of the stocks in the index, cur...
can provide a glimpse of overallmarket sentiment. The futures price may be different from the fair value due to the short-term influences of supply and demand for the futures contract. The fair value always refers to thefront-monthfutures contract as opposed to a further out month contract. ...
Discuss the method of determining the fair value for forward, futures, and options contracts.Future Contract::A futures contract is a contract between two individuals or entities to buy and sell assets or commodities in the derivatives market at a selected date in the ...
Fair value can be considered as the equilibrium price for a futures contract in the futures market—that is, the point when supply and demand are equal. This is the spot price adjusted for compounding interest (as well as dividends missed since the investor holds the futures contract rather th...
2.A computerized method for determining at an effective valuation time a fair value of a futures contract based on an equity index comprising a plurality of securities, each of said plurality of securities having a weighting in said equity index, comprising:for each security in said equity index...
The five terms of fair value, sell active, sell threshold, buy threshold, and buy active refer to specific values of the arithmetic difference of an index futures contract price minus its spot (or current) price. For example, if the S&P 500 futures contract price is 1409 and the S&P 500...
Fair Value Information Services are designed to provide you with various information that can be used to estimate a price for an equity security, equity index futures contract1, or equity option* that would likely prevail in a liquid market in view of market information available at the time of...
Similarly, the fair price in the futures market is the equilibrium price for a futures contract. The equilibrium price is when the supply and demand are equal. It is similar to the spot price after including thecompound interest. Even though the price of a security on an exchange seems to ...