# Questions tagged [forward]

A contract between two parties to make a transaction at a specified future time.

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### variation margin affecting futures price

A quote from Natenberg's Option Pricing and Volatility, on stock index futures and how variation margin can change their price. Ignoring dividends, the fair value of a stock index forward contract is ...
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### Computing the price of a zero-coupon bond [closed]

I'm given the following exercise: Question 1: Suppose that CHF-USD spot and forward exchange rate are as follows: Spot: 1.00 90-day forward: 1.06 a) Supposing that the forward contract is correctly ...
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### Forward price confusion [closed]

What exactly is the "forward price"? I have read that it is the price the long position in the forward contract will pay the short position for delivery at maturity (this is agreed upon at ...
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### Price of a forward contract with continuous dividend yield

(Edited version: Please read the bottom first.) The price at time $t$ of a forward contract with delivery price $K$ and maturity $T$ is $$F(T) = S(t) - K e^{-r(T-t)}.$$ If the underlying asset pays ...
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### Minimum variance hedge ratio for currency hedging

The textbook formula for minimum variance hedge ratio (MVHR) is correl (Y,X) * (STDEV Y / STDEV X) However, I would like to reconcile the textbook formula with the ...
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### Constant maturity bond fund returns in downward sloping curve

Assume the following: we are running a constant maturity bond fund (10yrs) all zero coupon bonds to maintain the maturity, we buy bonds of 10y and sell the 9y bonds 1y later price of 10y bond is 100, ...
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### How do I calculate the implied dividend yield and/or the forward rate for an equity ETF?

I am interested in building an implied volatility surface for a given ETF given a set of option prices for several combinations of (call/put,strike,expiry). I am interested in different ways to arrive ...
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### Basis for Forwards

Does the concept of a "Basis" for a forward based product make sense, or is it only ever explicitly for Futures? I understand the concept could mean the Forward Spot - Spot, but am not aware ...
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### DV01 for Bond Forwards

Does anyone know how to get the DV01 of bond forwards from Bloomberg? I used FPA to get the forward price but can't figure out how to get the DV01. Thanks!
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### Forward Rate Volatility Calculation - Caps

I am trying to calculate the forward rate volatilities from cap volatilities using Rebonato`s volatility model. Unfortunately, my approach always results in unrealistic forward rate vols. Furthermore, ...
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### help calculating Pnl for fx forwards

Below there is a trader’s portfolio. What is PnL explain for eod 04-July-2022? If you think that some information is missed feel free to add any data you need for calculations. ...
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### Implied Distributions from forward prices

I understand that the common way to arrive at an implied distribution for an underlying is through the price of its call options as per the Breeden-Litzenberger formula. I am wondering if its possible ...
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### Convenience yield intuition on consumption assets?

Something I'm having difficulty wrapping my head around is the argument that commodity futures can be in backwardation due to a large convenience yield, for example "to keep a production process ...
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### forward price and forward rate of a corporate bond

For risk free zero coupon bonds we can derive forward rates from observed the prices of zero coupon bonds. For example if the 1y zero rate is 1% and the 2y zero rate is 2% we can derive that the 1yr ...
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### Is the Forward Price of a bond subject to the Pull to Par?

From my understanding: FwdPx= SpotPx - Accruals + Financing Assume that the yield curve is flat/or that the bond yield stays the same the next day, i.e. that the market is unchanged and that the only ...
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### How does a stock becoming hard to borrow affect puts and calls?

Here is my understanding from what I’ve gathered, but I want to confirm if this is correct (and/or if there’s something I’m missing). If a stock becomes hard to borrow, one can create a synthetic ...
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### Why must the forward price be equal to the expected value for an underlying security [closed]

In page 59 of his book Option Volatility and Pricing, Natenberg argues that the forward price of an underlying security is essentially the market's consensus expected value for that security, ...
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### Substituting the basis swap for the FX forward

I have come across a response to the question titled "Cross currency swap a combination of 2 Interest rate swap" on this site. There, it is stated the following: Long story short: As @...
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### Futures and Forward prices under the Heston model and their spread

This might seem like a very trivial question but I am really not so sure about it so I thought I post it here. Assuming a Heston model of the form \begin{eqnarray} dS &=& (r-q)Sdt + \sqrt{v}...
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### Why does forward price equal spot price at delivery? [closed]

Disclaimer: I understand this is a basic question that gets addressed in most 101 textbooks. Yet I have reviewed many of them not finding a satisfactory answer. Please bear with my ignorance. Suppose ...
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### Cost of carry proof

I'm currently review Arbitrage Pricing in Continuous time by Bjork and am stuck on this concept: Honestly I'm not too sure where to start as this chapter makes no mention of the Cost of Carry formula ...
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### Replication Proofs and No-Arbitrage Proofs

I've just started studying quantitative finance and have had questions closed on this forum for being too basic; if that's the case for this one please let me know a more suitable place to ask. Assume ...
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### "Forward" attribute for an option

I am downloading implied volatilities for some options. I noticed, however, that I am also able to choose "Forward" as an attribute for the option. What is this? Is it an option written on a ...
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### Reasons for negative autocorrelation of forward prices

I am working on each trade day's forward prices of gasoline. I noticed that the autocorrelation at lag 6 is significantly negative. I know how to interpret negative autocorrelation in a statistical ...
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### Trying to check this 1Y1Y forward treasuries calculation

here is a screenshot of the FWCM screen on Bloomberg: https://i.sstatic.net/2BT3y.jpg I'm trying to check that I understand this by calculating the 1Y1Y which according to this matrix is 3.6877%. So ...
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### Is a swap fixed rate always a par yield?

I am learning about using the OIS fixed rate to value a plain vanilla LIBOR swap. I'm using Bond Math by Smith, and the accompanying online addendum. To bootstrap the discount factors, the author ...
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### Why is the formula for the 5y5y inflation swap forward on bloomberg 2*USSWIT10 Curncy-USSWIT5 Curncy

If USSWIT10 Curncy is the expected average inflation for ten years and the USSWIT5 Curncy is the expected average inflation for five years, I don't know why that formula would tell me what the ...
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### Implied forward rate with forward points

I've been studying the application and derivation of a domestic implicit rate in a FX contract when your input are the forward points and the foreing rate. Let's establish some with some ideas first. ...
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### How to compute portfolio weight of forward contract

how would one formally calculate the portfolio weight of a Forward position? Suppose I have 100 mio portfolio. I have 50mio in Tesla shares and I have 50mio in Microsoft shares, and I enter into a 1 ...
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