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6 votes
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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 ...
Patriots299's user avatar
5 votes
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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 ...
NBF's user avatar
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3 votes
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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 ...
amdopt's user avatar
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3 votes
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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 ...
byouness's user avatar
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2 votes
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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 ...
Accelerate to the Infinity's user avatar
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 ...
simzoor's user avatar
  • 383
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 ...
dm63's user avatar
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1 vote
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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 ...
Sergei Rodionov's user avatar
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 ...
Kermittfrog's user avatar
  • 6,673
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 ...
JazKaz's user avatar
  • 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-...
marain's user avatar
  • 41
1 vote
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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 ...
jherek's user avatar
  • 1,414
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 ...
dm63's user avatar
  • 17.2k
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 ...
Antoine Conze's user avatar

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