pytha.py

Created on February 13, 2025

524 Bytes

 profit or loss (P/L) of closing a forward contract 
-  Déterminer la nouvelle valeur équitable du forward
Ft = (S – PV(D))e^r(T-t) 
-  Calcul du PV(Div)
PV(D) = D*e^(-rt’)
-  Calcul du nouveau prix du forward Ft
-  Calcul du P/L = Ft – F0
Attention: 
-  t' = dans combien de temps sur 12
-  T = x month forward 
-  t = combien de mois plus tard 
 Final basis, initial basis & change in basis 
Initial basis = Final+change in basis
Basis = Spot - Future 
 Forward lease 
F = S*(1+r)/(1+L) 
F = S*e^(r-L)T

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