SI
SI
discoversearch

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor.  We ask that you disable ad blocking while on Silicon Investor in the best interests of our community.  If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.
Strategies & Market Trends : Bonds, Currencies, Commodities and Index Futures -- Ignore unavailable to you. Want to Upgrade?


To: OX who wrote (2555)2/6/2003 11:21:33 AM
From: Chip McVickar  Read Replies (1) | Respond to of 12411
 
Hello OX,

I was just looking at one of those complex calculations, that try to solve the riddle of a contracts cost to the spot price or cash price. Takes all the fun out of trading.... <smile>

It's all based on supply/demand and carring costs.

Here's one formula for the Stock Index futures contract and Treasury Bonds, because interest rates are the primary carry charge.

F=C(1=rt-it)

F=futures contract price
C=the spot price
r=financing or borrowing rate
i=inflow yield
t=the futures contract maturity expressed as a yearly percentage