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Forwards and Futures: Valuation Insights by Naman Jain is a document available to read on EtoBox.

Here are the key steps to value a forward contract with residual maturity t: 1. Discount the delivery price K using the risk-free rate r over the residual maturity t 2. The theoretical forward price F(0) equals the discounted delivery price 3. The value of the forward contract f today is simply the forward price F(0) So in summary, to value a forward contract with residual maturity t, discount the delivery price K using the risk-free rate r over t periods. The discounted price is both the theoretical f

Author

Naman Jain

Language

EN