A futures contract is a standardized exchange-traded contract on a currency, a commodity, stock index, a bond etc. (called the underlying asset or just underlying) in which the buyer agrees to purchase the underlying in future at a price agreed today.
A closed form expression for the value of a forward contract on a zero-coupon bond is derived. Also, another proof of the known formula for futures price of a zero-coupon bond which is known from the paper of Cox, Ingersoll and Ross [CIR... JL Bourget 被引量: 4发表: 2004年 Financia...
position on January 21, 2019. The futures price (per pound) is 121.20 cents when it enters into the contract, 118.30 cents when it closes out its position, and 118.80 cents at the end of December 2018. One contract is for the delivery of 40,000 pounds of cattle. What is the total ...
Chapter12.Forwards,Futures,andSwaps IE54411 Chapter12.Forwards,Futures,and Swaps Shuzhong Zhang
Application of SunSirs Benchmark Pricing Traders can price spot and contract transactions based on the pricing principle of agreed markup and pricing formula (Transaction price=SunSirs price + Markup). If you have any questions, please feel free to contact SunSirs withsupport@sunsirs.com....
Determining the Fair Futures Price of the USDX Futures Contract Two features of the USDX index formula are important in determining the fair futures price for a USDX index futures contract. First, the USDX index is constructed such that, as the U.S. dollar appreciates, the index level rises....
f(s)f(p(s,t*);k(t),t*)＊p(s,t):theforwardpriceattimes k(t):theexercisepricef(s):theforwardcontract’spriceattimest:thedatethecontractiswrittens:thecurrenttimet*:thedeliverydate t≤s≤t＊
To calculate profit and loss in futures trading, you need to consider the difference between the price at which you entered the contract and the price at which you exited or plan to exit it.9 Here's the formula: Profit or Loss = (Exit Price - Entry Price) x Contract Size x Number of...
The end of the month option allows the holder of the short end of a futures contract to deliver the underlying at any time during the last week of the contract period at a fixed price determined at the start of the last week. We derive a formula for this price in a general incomplete...
Fair value can show the difference between the futures price and what it would cost to own all stocks in that index. For example, the formula for the fair value on the S&P futures contract is: FairValue=Cash×{1+r(x/360)}−Dividendswhere:Cash=CurrentS&PCashValuer=Currentinterestratep...