I am looking for a pricing model of the following contract, which is basically a forward contract, maturity in 3 month with some sort of strike on a (equally weighted basket of) stock index futures in a different currency. To be more precise, the contract is in CHF, the future(s) are/is in EUR (GBP, JPY and USD) and exchange traded. I'm looking for some sort of forward pricing formula and a specification of the dividends, costs, quanto & convexity adjustment if necessary... I'm familiar with forward pricing in general but found this a bit harder than the usual stuff. Any ideas will be appreciated. Thanks a lot

  • $\begingroup$ Essentially identical to dollar index futures I suppose. There are no dividends (there are two interest rates). Also no quanto really as everything can be expressed in CHF. EURCHF, GBPCHF... $\endgroup$
    – AKdemy
    Aug 7 at 14:51
  • $\begingroup$ Thanks a lot for the paper. I checked it and i'm still not sure why those dividends (or div-yield as the case may be) are gone. Perhaps it's possible to make it a bit more explicit to me? $\endgroup$
    – T123J
    Aug 9 at 8:39
  • $\begingroup$ Sorry, I actually missed that part with stock index. In this case you will need dividends (index dividend points). Doing this all completely manually will not be trivial. Is that product listed as well? Do you have access to vendor data (Bloomberg, Reuters etc). They usually have index dividend points. Bloomberg has FAIR for computing cheapness/richness of index futures for example.will show you all data used. Doubt it works for some composite but you will get individual data at least. $\endgroup$
    – AKdemy
    Aug 9 at 9:13
  • $\begingroup$ Yes, i do. I use several ones, but mostly i use BDVD to get a proxy for dividends and divide by the current spot to get a yield proxy (besides tax factors etc.pp. from TR and net return indices). I know its not trivial .. that's why i'm asking. The product i'm looking at is an index tracker, (basically a set of forwards) on a basket of stock index futures (those are traded on EUREX and SWX). Payment dates, day counts, curncy and other fields of static data differ (that's why i asked for convexity adj. etc). Any reference or equations how to get a price tag on this would make my day. $\endgroup$
    – T123J
    Aug 9 at 9:22

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