ForwardPrice: Forward price

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

Description

The delivery price in a forward contract that causes the contract to be worth zero.

Usage

ForwardPrice(Spot, Time, Interest, Yield, Income)

Arguments

Spot	S_0, the spot price of the asset
Time	T, the time to maturity
Interest	r, the risk-free rate
Yield	q, asset yield with continuous compounding
Income	I, the PV of an asset's income

Value

the forward price

Author(s)

George Fisher [e-mail]

References

Hull 7th edition Ch 5 P 103-108

Examples

library(ustreasuries)
# Hull 7th edition Ch 5 P 103
Spot     <- 40
Time     <- 0.25
Interest <- 0.05
Yield    <- 0
Income   <- 0
ForwardPrice(Spot, Time, Interest, Yield, Income)

# Hull 7th edition Ch 5 P 105
Spot     <- 900
Time     <- 0.75
Interest <- 0.04
Yield    <- 0
Income   <- 40 * exp(-0.03 * 4/12) # PV(40) = 39.60
ForwardPrice(Spot, Time, Interest, Yield, Income)

# Hull 7th edition Ch 5 P 107
Spot     <- 25
Time     <- 0.50
Interest <- 0.10

# convert 0.04 discrete to continuous
Yield_d  <- 0.04
Yield    <- r_continuous(Yield_d, 2)

Income   <- 0
ForwardPrice(Spot, Time, Interest, Yield, Income)

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.