Futures

(AssetPrice, TimeExpire, InterestRate, YieldRate, TimeFormat, DivAmount, TimeExDiv, DivFrequency, DividendStyle, InterestType, YieldType)

Futures

(AssetPrice, TimeExpire, InterestRate, YieldRate, Dividends, TimeFormat, InterestType, YieldType)

Argument

Description

AssetPrice

The price of the underlying asset. Must be > 0.

TimeExpire

Time expressed in either Days or Years (depending on the TimeFormat value) until the options expiration. Must be > 0.

InterestRate

Risk-free interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0.

YieldRate

Yield expressed as a percentage (dividends or interest yield) of the underlying asset price. For futures contracts, the Yield Rate is the same as the Interest Rate. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument.

Dividends*

A two-dimensional array or range of Dividend Dates and Amount pairs where the first column is the date and the second is the amount. The Dividend Dates are a range (array) of ascending unique values. All dividend dates and amounts must both be > 0.

As an example:

  Dividends  

Date         Amount

0.0             0.20

0.5             0.15

1.0             0.30

1.5             0.25

2.0             0.15

2.5             0.40

*Used for the DivArr (Dividend Array) based model only

TimeFormat

Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire, TimeExDiv, DivFrequency). If omitted, Days are used as the default. Specified as either:

•Days = 0 or "D" (case insensitive)

•Years = 1 or "Y" (case insensitive)

DivAmount

Optional. The amount of the dividend(s). If omitted, an amount of 0 is used. Amount must be > 0.

TimeExDiv

Optional. The time in Days or Years until the first dividend is received. If omitted, a value of 0 is used and therefore no dividends are assessed. Value must be > 0 for dividends to be considered.

DivFrequency

Optional. The time in Days or Years between dividend payments. If omitted, a value of 0 is used and therefore the only dividend assessed occurs at the TimeExDiv time. The value must be > 0 for multiple dividends to be considered.

DividendStyle

Optional. Numeric value indicating the Style or method that dividends are handled. If omitted, the discrete cash method is used (i.e. DividendStyle = 0).

•Discrete cash flow method = 0

•Continuous yield method = 1

InterestType

Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a continuously compounded rate is used.

YieldType

Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a continuously compounded rate is used.

Calculate the Future value of an asset, with dividends, whose price six months from expiration of an option is $38, the risk-free interest rate is 6.5% per annum and no yield rate. The first dividend is expected to occur in .2 years and the second is expected to occur in .4 years or .2 years from the first dividend. The dividend amount is $1 for both dividends. So,

Input

Output

Variable

Value

Name

Value

Asset

38

Price

37.18105

TimeExpire

0.5

InterestRate

6.25%

YiekdRate

0.00%

TimeFormat

Years

Div Amount

1

Time Ex-Div

0.2

Div Frequency

0.2

Bonds

Bond Options

Cap Floor Options

Swaption