Forward and Future Contract

This application calculates price, value and parity rate for forward and future contracts.

Index, Currency and Commodities are supported in future contracts.

Income generating (dividend paying) securities are accommodated. Dividend yield or actual amount paid can be supplied. If payable in months is not supplied, annual payment is assumed.

Storage cost % or actual is accommodated for forward and future (commodity) contracts.

Scenario 1 (Screen 1): Non-income generating forward contract

Spot price of Forward contract on a non-income stock maturing in 5 months is $900.80. Risk free rate is 5%. The delivery price is $919.7635.

Scenario 2 (Screen 2): Income generating forward contract.

A security with 10 months maturity trading at 60.50 Euro spot price. Security pays ).50 Euro dividend every 3 months. Risk free interest rate is 6%. Delivery price of the security is 61.00 Euro.

The price of the security is 62,0715 Euro, Value of the security is 1.0192 Euro.

Scenario 3 (Screen 3): Index future

S&P Equity Index is trading at 1103.30 spot price. Underlying stocks provide dividend yield of 3.3%. Risk free rate is 4.2%. Contract matures in 3 months.

Delivery price is 1105.7852.

Scenario 4 (Screen 4): Currency future

USD-GBP rate is $1.7830. UK Repo Rate is 1.5%. Contract expires in 3 months.

Delivery price is $1.7686.

Scenario 5 (Screen 5): Commodity future contract.

One year future contract on platinum with spot price $840.30 per oz. Storage cost is $6.80/annum. Risk free rate is 1.5%.

Price is $859.7995.