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Forward Prices and Forward Rates – Calculation reference & detailed examples

Forward Prices and Forward Rates – Calculation reference & detailed examples

This course is not only a calculation reference for Forward Prices, Spot Rates & Forward Rates, Yield-to-Maturity, Forward Rate Agreements (FRA), Forward Contracts and Forward Exchange Rates but also includes a detailed walkthrough (with examples) of how these values may be determined in EXCEL.

EXCEL files:

This package deal also includes the supporting EXCEL file containing detailed worked-out examples.

1. Forward Prices

  • Forward price of a security with no income
  • Forward price of a security with known cash income
  • Forward price of a security with known dividend yield

2. Relationship between spot rates and forward rates

  • How to determine forward rates from spot rates
  • How to determine spot rates from forward rates

3. Yield to Maturity (YTM)

  • Trial and error method
  • Using Goal Seek functionality

4. Forward Rate Agreements (FRAs)

  • Value of an FRA (zero coupon rate calculated on a discrete basis)
  • Value of an FRA (zero coupon rate calculated on continuously compounded basis)

5. Forward Exchange Rates

  • FX Rates (Interest Rates compounded on a discrete basis)
  • FX Rates (Interest Rates compounded on a continuous basis)

6. Value of a Forward Contract

  • Value of a long forward (continuous)
  • Value of a long forward (discrete)
  • Value of a long forward contract (continuous) which provides a known income
  • Value of a long forward contract (continuous) which provides a known yield
  • Value of a forward foreign currency contract

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