The value of a long forward contract with no known income and where the risk free rate is compounded on a continuous basis is given by the following equation:
f = S0 – Ke-rT
Where
S0 is the spot price
T is the remaining time to maturity
Archives for Example
Forward lessons: Derivative pricing: How to calculate the value of a forward contract in Excel
31st January 2012 by agnes under Computational Finance, Derivatives, Example, Middle Office, Misc., Options Pricing, Treasury Products, Treasury Sales
How to calculate the value of a forward contract in Excel
Value of a long forward contract (continuous)
Forward Rate Calculations: Forward Rate Agreements and Forward Foreign Exchange Rates
31st January 2012 by agnes under Computational Finance, Derivatives, Example, Middle Office, Misc., Options Pricing, Treasury Products, Treasury Sales
How to calculate the values of Forward Rate Agreements (FRA)
We are valuing an FRA for someone who is receiving fixed interest rate payments and who is paying floating interest rate payments.
Value of an FRA (zero coupon rate calculated on a discrete basis)
Where, L is the principal amount
RK is the fixed interest rate
More Forward Rates Lessons: How to calculate Forward Rates – Calculations walk through
31st January 2012 by agnes under Computational Finance, Derivatives, Example, Finance course, Interest Rate Modelling, Middle Office, Options Pricing, Treasury Products, Treasury Sales
How to determine Spot Rates and Forward Rates & Yield to Maturity
How to determine Forward Rates from Spot Rates
The relationship between spot and forward rates is given by the following equation:
ft-1, 1=(1+st)t ÷ (1+st-1)t-1 -1
Where
st is the t-period spot rate
ft-1,t is the forward rate applicable for the period (t-1,t)
If the 1-year…
Premium Courses ALM – Crash Course$59.00Selling Derivative Products$199.00ICAAP – Credit EXCEL Example$99.00Monte Carlo Simulation – Equity – Example$8.99Computational Finance: Basics: Calculating forward prices in Excel – Part I
30th January 2012 by agnes under Computational Finance, Derivatives, Example, Middle Office, Misc., Options Pricing, Treasury Products, Treasury Sales
How to calculate the forward price of a security in Excel Forward Price of a security with no income
Forward Price of a security with no income is given by the formula S0ert.
For example if S0 , the spot price, of the asset is 100. The time to delivery in the forward contract is 6 months (or 0.5 years) and the annual risk free rate is…
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