i'm new to Quant Stack Exchange but i already saw that the quality of the answers is outstanding, however, i have a question for which i haven't found an answer yet:
I'm looking for a pricing model/ valuation approach for a tracker certificate on an underlying basket of index futures. I understand that the usual approach to price tracker certificates on equity indices is some sort of forward pricing approach, e.g. given a series of settlement dates in the future, you calculate the forward price given the current spot of the underlying (with a given forward curve) and then you discount this (given an appropriate Discount curve) to obtain the present value of the certificate.
Assuming your forward curve is equal to your discount curve, this means you are basically discounting using the dividend yield (e.g. Exp(-div * dt)) and the running fee (e.g. Exp(fee * dt)) (an increase in the div.yield reduces the price of the tracker but an increase of the running fees increases it). Is this so far correct?
I stumbled across a certificate where the underlying is not an equity index but a basket of index futures, thus as far as i understand this has to be treated as a future on a basket of futures (is this correct)? Can someone confirm this and if yes, what is the pricing approach to find the PV of this kind of tracker? By which expression do i need to replace the dividend yield? Furthermore, what kind of particular problems /issues might occur ?
Thanks a lot for your help
