pyth.py

Created on February 13, 2025
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 Margin call : short ou long 
 Convenience Yield 
y = r + u/S – 1/Tln(F/S) 
 Arbitrage profit per contract 
-  Calcul du prix théorique du contrat future à partir du prix Spot 
F0 = S0e^(r-q)*T
-  Calcul du prix du future 
-  On observe la différence pour savoir si le prix du future est sous évalué 
 Optimal hedge ratio 
h* = p*SDS/SDF
 Optimal number of futures contract 
N = h*xVs/Vc = BxVs/Vc 
N = (B*-B)*P/V
 Formula to calculate the forward price of a currency using continuous compounding 
F0 = S0*e^(r2-r1)T
 Forward price formula of a currency with discrete compounding
F0 = S0*(1+r2/m)^Tm/(1+r1/m)^Tm 
ATTENTION : T = m/T = T + bien être en % 
 Trouver la valeur d’un forward 
-  Compounded continuously & Sans dividende 
F0 = S0e^rt
-  Compounded anually/ monthly & sans dividende 
F0 = S0(1+r/m)^m
-  Compounded continuously & Avec dividende continus
F0 = S0e^(r-q)T
-  Compounded anually/ monthly & Avec dividende continus 
S0 (1+r/m)^m/(1+q/m)^m
-  Compounded continuously & Avec dividendes ponctuels 
F0 = (S0 – PV(D))e^rt
ATTENTION : Si on décide de mettre fin au contrat plus tôt 
Ft = (S0 – PV(D))e^r(T-t)