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02-18-2008, 10:11 PM
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What do you mean with fair values?
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02-20-2008, 04:33 AM
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FV = S [1 + (I - D)]
Where "S" is the S&P 500 Stock Index. Where "I" is the amount of Interest paid to your banker or broker to borrow the money to buy all of the stocks in the S&P 500 Index. The interest is calculated based on a percentage lending rate (R) from the current date (today) until the date that the S&P Futures Contract expires in March, June, September, or December. Where "D" is the amount of Dividends paid to you from the companies that you own in the S&P 500 Index that pay a dividend. The dividends are paid to you based on the record dates for any stock in the Index that is announced between the current date (today) and until the date that the S&P Futures Contract expires in March, June, September, or December. This dividend income is expressed as a percentage rate too. Or --- F = S [1+(i-d)t/360] Where F = break even futures price S = spot index price i = interest rate (expressed as a money market yield) d = dividend rate (expressed as a money market yield) t = number of days from today's spot value date to the value date of the futures contract.
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02-20-2008, 08:07 AM
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Interesting.
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LinkBack to this Thread: http://www.forex-tsd.com/indicators-metatrader-4/12405-fair-value.html
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| Fair Value | Forex Trading Secrets | This thread | Pingback | 02-18-2008 03:08 AM | |
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