- CFA Level 2: Derivatives Part 1 – Introduction
- What are Forward Contracts?
- Equity Forward Contracts
- Fixed Income Forward Contracts
- Currency Forward Contracts
- Forward Rate Agreements (FRA)
- Credit Risk and Forward Contracts
- Introduction to Futures Contracts
- Futures: Convergence of Spot and Futures Prices at Expiration
- Futures Prices vs. Forward Prices
- Contago and Backwardation
- Pricing Stock Index Futures
- Pricing Interest Rate/Treasury Bond Futures
- Pricing Currency Futures
- Eurodollar Futures
Pricing Stock Index Futures
Equity Index Futures are a type of futures contracts that try to replicate the performance of an equity index such as S&P, FTSE, or ay other index. Buyers can invest in a basket of equities without trading the individual stocks.
These contracts are used to hedge against an existing equity position for for speculation.
The pricing of stock index futures is performed in the same formulaic manner as presented earlier in the futures section.
Equity Index Futures Price: f0(T) = [S0 - PV(CF)](1+r)T
Equity Index Futures Price (alternative formula): f0(T) = S0(1+r)T - FV(CF)
- CF = Dividend expected to be paid during the remaining life of the contract term
- S0 = Spot price of the equity index
Data Science in Finance: 9-Book Bundle
Master R and Python for financial data science with our comprehensive bundle of 9 ebooks.
What's Included:
- Getting Started with R
- R Programming for Data Science
- Data Visualization with R
- Financial Time Series Analysis with R
- Quantitative Trading Strategies with R
- Derivatives with R
- Credit Risk Modelling With R
- Python for Data Science
- Machine Learning in Finance using Python
Each book includes PDFs, explanations, instructions, data files, and R code for all examples.
Get the Bundle for $29 (Regular $57)Free Guides - Getting Started with R and Python
Enter your name and email address below and we will email you the guides for R programming and Python.
