6
votes
Accepted
What is the formula for calculating fair value of currency futures?
$$F = Spot \times e^{(\text{local interest rate} - \text{foreign interest rate}) \times T}$$
where $Spot$ = AUD per dollars.
$T$ is the time to maturity of the contract (in years). So for example ...
- 176
5
votes
Accepted
Measuring bond fair value (richness/cheapness) using basic regression models?
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 ...
- 1,068
3
votes
Accepted
How do 409a's and market caps compare?
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 ...
- 4,710
3
votes
Accepted
Fair value of a binary cash-or-nothing option with a barrier
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 ...
- 2,170
2
votes
Accepted
Fair Value Regression Methods
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 ...
2
votes
Does a bank borrow money to post the market to market valuation of assets to its ledger?
From a pure accounting perspective under IFRS 9, there is no requirement like this for putting it on the balance sheet.
Every derivative, regardless of margined or unmargined, gets posted to the ...
- 373
2
votes
Does a bank borrow money to post the market to market valuation of assets to its ledger?
Ok so let’s say we have an asset on the balance sheet which is the market value of an unmargined derivative. A common procedure by banks is to assume this is financed by unsecured borrowing. Why ? I ...
- 16.2k
1
vote
Accepted
Best way to calculate a stock's fair value
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 ...
- 1,152
1
vote
Delta of a forwards contract
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 ...
- 6,260
1
vote
Calculating the theoretically fair value of this futures contract by assuming monthly compounding
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 ...
- 114
1
vote
calculation of theoretical value of futures contract
$$
Futures Price = Spot Index Value + Finance Charges - Dividends
$$
You need to convert everything into index points. Check this out:
https://www.cmegroup.com/education/files/understanding-stock-...
- 41
1
vote
Accepted
Valuation of open FX-Forward
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 ...
- 1,369
1
vote
Valuation of open FX-Forward
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 ...
- 16.2k
1
vote
Fair Value Spread in ALM/ESG
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 ...
- 5,622
Only top scored, non community-wiki answers of a minimum length are eligible