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10 Cards in this Set
- Front
- Back
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What is a basis of a future ?
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Basis = Spot price - future price.
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Future contract value formula ?
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f0(T) = S0 * (1+r) ^ T + FV (SC,0,T ) - FV (CF,0,T) - convinience yield
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What is backwardation ?
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In the case of Backwardation Hedger : producers of commodities , Short-future .
Speculators : Long-future (Buy for a lower price ). |
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What is contango ?
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Consumers from Commodities .
example airlines which buy fuel. Hedger : Long-future. Speculator :Short-future (Sell for a high price). |
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What is a conversion factor ?
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Short sellet receives = QFP * CF + Accrued Interest.
The difference between the theoretical bond price and actual bond price is the coversion factor. |
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Future fornula with future value of cash flows?
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F0 (T) = S0 (1+r) - FV (C, 0 T)
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Formula with conversion factor?
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B 0 (T + y ) = ( F0 (T) * (CF) + FV (CI , 0, T ) ) / (1+r0(T) ) ^ T
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Currency futures ?
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F0 (T) ( 1+r(fc)) ^ T = S0 (1+r(h)) ^T
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Heaching Application ?
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Target Beta = 0, aim to reach 0 from target beta
Target dollar Beta = Dollar Beta Stock + Dollar Beta Future . Beta Target * S = Beta Stock * S + Beta Future * F * N. |
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Future Formula with dividen yield ?
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F0 (T) = S0 * (1+r) ^T / (1+§) ^T
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