*Chapter4FuturesandForwardsPricesΙ*?Forwardpricesrelationship?*1、PRELIMINARIES⑴formanyofthecontractsthataretradedinthemarket,itcanbearguedthattheforwardpriceandfuturespriceofanassetareveryclosetoeachotherwhenthematuritiesofthetwocontractsarethesame.*1、PRELIMINARIES⑵notationWewillusealotofnotation,solet’sbeveryclearaboutwhateachsymbolmeans:T=maturitydateoftheforwardcontractt=currenttimeSt=priceofunderlyingattimetST=PriceofunderlyingattimeTK=deliverypriceintheforwardcontractFt=forwardpriceattimetf==riskfreerate*1、PRELIMINARIES⑶.:T:Investmentperiod(years)PV:PresentValueofinitialinvestmentFV:FutureValueofinitialinvestmentR:poundingfrequency*poundedonceayearforTyears:Whatifinterestispaidmorefrequently?Hereareafewexamplesoftheformula:m=1m=4m=12*poundingfrequency(m)m=1m>1m→Futurevalueafternyears(FV)pounding*示例例:假设存款金额为100,名义年利率为10%,存款期限为1年,在年度计息的条件下,明年的期末存款余额为: 100×=110半年计息一次: 100××=: 100×=: 100×=*实际利率与计息次数*poundingThestandardfutureandpresentvalueformulasare:PV→FV:PV*eRT=FVFV→PV:FV*e-RT=PVForexample,ifyourdiscountrateis8%,andyouaregoingtoreceive$200in2years,thepresentvalueofthatcashflowis:
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