# Questions tagged [forward]

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### Difference between Price and Value in Forward and Futures

Consider forward and futures contract on a zero-coupon bond. Denote the time $t$ forward (contract) price on a $T_2$-maturity zero-coupon bond with delivery date $T_1$ as $F(t,T_1:T_2).$ Similarly, ...
431 views

### Are forward rates for an IRS computed between reset dates or between start dates?

In order to price the floating leg of an IRS I am computing forward rates for future coupons, but I'm not sure whether I have to compute such rates between reset dates or between start dates. My ...
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### Forward swap sensitivity

How do we replicate a forward swap using ordinary swap? Do we have either sensitivity or present value on forward interest rate swap prior to the effective date?
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### Simple forward price of a commodity formula

Given the spot price of a commodity C, an annual interest rate r, a time to maturity in years t, and storage and insurance cots to maturity s we can express the forward price (using simple interest) ...
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### Calculate forward price based on option chain

I've got historical data for a spy option chain which looks as follows ...
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### Arbitrage when discounting and forward computation is done with different curves

I notice that (equity derivatives) trades generally are priced with different forward curve and discounting curve, which clearly lead to arbitrage. Is this arbitrage value too small to be ignored? How ...
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### Constructing an arbitrage opportunity for a company involving Forwards

Let's say an investor enters a long forward contract on 100 units of underlying assets $S$ and maturity $T$ = 4 years. The asset $S$ pays no dividends and the spot price of one asset is $S_0$ = £5. ...
352 views

### Future Versus Forward Price When Underlying Asset Price Positively Correlated with Interest Rate

I'm reading a book called a Practical Guide to Quantitative Finance Interview, and cannot make sense of the solution for a particular question, so I really appreciate your advice: Question: What is ...
212 views

### Forward price vs. futures price - Wilmott

I am reading Paul Wilmott's book PWOQF2, and there is something I don't get in his derivation of the convexity adjustment between forward and futures prices (chap. 30). He models $S$ and $r$ ...
149 views

### Payoff of Forward Contract

Consider the following notation: $P(T_j,T_2)$ is the price of a zero-coupon bond at $T_j$ with maturity $T_2$. $F(t,T_h,T_2)$ is the price of a forward contract at time $t$ on the above $T_2$-...
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### What is the difference between Cost of Currency Hedging and the Price of a Currency Pair Forward?

I am looking at Reuters Datastream and all they seem to provide is the settlement price of the CME EURGBP contract (which more or less equals current spot). But what does it actually cost me to ...
2k views

### Calculating bond forward rate/price

What's the difference these two methods on calculating the bond forward rate/price. First of all I'm assuming forward rate is the same as forward price in this context, if this assumption is false, ...
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### Extrapolating implied dividend yield

I have liquid option quotes for 1, 2, 3 and 4y expiries. I was able to imply the continuous dividend yield for all of those. How would you extrapolate such implied yield to 5 and 6y expiries?
227 views

### Stock forward price argument

Hi I am strangling to understand where is the mistake with the following strategy. Can anyone help me with the following argument? Assuming a stock price follows geometric Brownian motion then the ...
2k views

### 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 ...
1k views

### Futures and Forward Prices vs interest rates

Textbooks usually state that if an asset's prices are positively correlated with interest rate movements, then its Futures price is going to be greater than its Forward Price assuming the same ...
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### Forward spot calculation for a dividend paying no-short sell ETF

I am trying to fit an implied volatility curve for options on the SSE 50 etf that has no borrow (no short selling allowed) and pays a single annual dividend. I originally thought I could use the ...
203 views

### Why is the value of a forward contract discounted to the present value?

I'm not sure if this question has been asked before, but it's a simple one. Let's consider a Forward contract on a non-income paying investment asset. We know that the Forward price on such an asset ...