Questions tagged [fair-value]
The fair-value tag has no usage guidance.
Does a bank borrow money to post the market to market valuation of assets to its ledger?
If a bank owns an unmargined OTC derivative contract with mark to market valuation of \$X, is it required to borrow \$X from money markets in order to post that asset's value to its balance sheet? If ...
Best way to calculate a stock's fair value [closed]
I keep hearing "analysts" say that certain company's stock is currently much below the fair value, and I also keep hearing that certain other stocks are severely over-valued. However, I have ...
Delta of a forwards contract
in university's lecture notes, from what I understand using the replication of portfolio principle to price derivates, the forward price of a contract K should be: $K = P_0(1+r)$ where $P_0$ is the ...
How to calculate the Net Present Value (Market-to-Market Value) of a plain vanilla FX forward?
I would like to understand the math/economics behind the calculation of plain vanilla FX forwards. Let's assume the following example: ...
Fair Value Regression Methods
Recently we had an invited talk at our university (I'm Ph.D. student in ML department, so I'm sorry if my question is stupid, since I do not have quantitative finance background), where one researcher ...
Calculating the theoretically fair value of this futures contract by assuming monthly compounding
I need a help for the following question: A stock index is constructed by including only two stocks in the index. One of the stocks (Stock $1$) currently sells for $250$ dollar and the other stock (...
calculation of theoretical value of futures contract [closed]
we form a stock index by using only two stocks in the index. One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
How do 409a's and market caps compare?
I've found that MarketCap is a quick and decent way to evaluate a public company. For private companies, the best I've found is a 409a. It seems like, in many scenarios, both evaluation methods ...
Theoretical justification for why estimating intrinsic value of a stock price can be different under FCFF and FCFE approaches?
what is the theoretical justification for why estimating intrinsic value of a stock price can be different under FCFF (Free Cash Flow to the Firm) and FCFE (Free Cash Flow to the equity) approaches? ...
How to calculate the fair value of a futures roll and what are the practical uses?
Last month, I spent some time calculating the fair value of a futures contract in preparation for the current futures roll period. I've backtested it and noticed that fair roll generally gives me an ...
Measuring bond fair value (richness/cheapness) using basic regression models?
Background Due to the nature of the curve (bond curve, swap curve etc), bond traders typically have some model that allows them to measure the "fair value" (FV) of a bond vs other bonds on the curve. ...
Fair value of a binary cash-or-nothing option with a barrier
I want to find the fair value of a European cash-or-nothing option that pays \$1 if $S_t>K$ and $S$ breached the level $M<0<K$, where $S$ is the risk-neutral process $dS_t=\sigma dW_t$. My ...
What is the formula for calculating fair value of currency futures?
Let's use AUDUSD 6A futures contract as an example. How does the interest rate between AUD and USD give rise to the fair value calculation of AUDUSD 6A futures contract? Besides interest rates, are ...
Valuation of open FX-Forward
So called closed FX-Forwards are well known forward contracts where some amount of foreign currency is bought at a specified date in the future for a price fixed "today". Such contracts can be ...
Volswap: fair strike and number of fixings
Let’s assume 1y vol is at 10.0% and there is no skew and the term structure is flat. Let’s assume there are 252 fixings and the annualisation factor is 252. 1) In a BS world, is it correct to say ...
Fair Value Spread in ALM/ESG
Assume a bond portfolio in an ALM [Asset Liability Management] model or an ESG [Economic Scenario Generation] portfolio model. In order to be market consistent, a spread over the risk-free curve is ...