Futures

From ThetaWiki

[edit] Description

A futures contract is a standarized contract traded on a futures exchange to buy or sell a certain underlying instrument at a certain future date at a specified price. The futures date is called the delivery date or the final settlement date. The pre-set price is called the futures price.

[edit] Overview

The future price of a traded financial security corresponds to its discounted expected value. In many cases, this is very easy to compute. In some cases, e.g., with stochastic dividend payments, a numerical solution can be useful.

[edit] ThetaScript

% Determines the future price of the traded Underlying S
Model future
  import S "Underlying"
  import T "Maturity"
  import EUR "Numeraire"
  export P "Future price"
 
  P = E(V!)  
  Theta T
  V=S*EUR
end