6

$$F = Spot \times e^{(\text{local interest rate} - \text{foreign interest rate}) \times T}$$ where $Spot$ = AUD per dollars. $T$ is the time to maturity of the contract (in years). So for example if the contract expires in 1 year and a half, $T = 18/12 = 1.5$.


4

Just on nomenclature. You cannot establish fair value but you can use a regression for RV. OLS is perfectly legitimate when done in levels-as long as the series are cointegrated. Now we know that the yield curve is driven by several factors (in the state-space modelling side of econometrics called “stochastic common trends” in levels), the first two of ...


3

A 409A and the price someone is willing to pay for a private company are not the same. A 409A for an early-stage business is usually performed immediately after a financing round. This type of valuation is just a snapshot at that moment, which heavily discounts that an early-stage company can remain a going concern. An investor looking to participate in a ...


3

As Daneel mentioned in his comment, you can't simply split your expectation of product into a product of two expecations as the two quantities are far from being independent... Now, to answer your question w.r.t. how you could compute the expectation of the joint event of being in the money while having hit the barrier, you were right in using the reflexion ...


2

So after some time I found what was meant by the "fair price" in the context of the speakers presentation. Since in the data one knows $P^b, P^a, V^b, V^a$, i.e. best bid/ask price, and best bid/ask volume at the current time, one can consider the following definitions of fair value: Just a mid-price, i.e. $P = \frac{1}{2}(P^b + P^a)$ Microprice (...


1

DCF analysis: future values of dividends discounted to today's dollars Comparable company analysis: relative value based on peer group ratios: P/E, P/sales, P/active_user, P/EV, P/TAM for SPACs or ventures Terminal value: total value of assets sold minus liabilities paid For more details, see Company Valuation Methods by Pablo Fernandez


1

I think your error is in confusing forward contract and forward price. The forward price, with continuous interest rates, is $K=P_0e^{rT}$. It is a fixed parameter of your forward contract. The forward contract value, on the other hand, is $V_t=P_t-Ke^{-r(T-t)}$. Its derivative w.r.t. the underlying is then indeed $dV_t/dP_t=1$. HTH?


1

You must convert all cash and dividend streams into the index points . The current value of the index between stocks seems ok but the dividends need to be converted to index points. Basically divide the dividends you’ve calculated by the index divisor. Then the calculation seems ok


1

$$ Futures Price = Spot Index Value + Finance Charges - Dividends $$ You need to convert everything into index points. Check this out: https://www.cmegroup.com/education/files/understanding-stock-index-futures.pdf


1

The flexible forward contract is very much like an American option: at each exercise date, you have the choice to receive the payoff $(S-K)$ or not. The difference with a regular option is that you must choose a date. In effect, this is a classical optimal stochastic control problem and may be solved using exactly the same techniques as for an American (or a ...


1

To answer your answer: Suppose you are the holder of the open contract. You hedge it by executing a vanilla forward at 1.1679 for date 92. You now have an arbitrage, for if the fx forward for one of the dates 88 to 91 becomes higher than that for date 92, you can switch the hedge to that other date, This means that the true price of your open contract ...


1

It is common to observe a term structure of spread when there are bonds with different maturities for the same issuer, or when CDS with different maturities are available for that issuer. For issuers with poor rating the term structure might be decreasing, meaning that conditional upon short term survival the issuer is expected to get better. An ESG that ...


Only top voted, non community-wiki answers of a minimum length are eligible