Abstract
This chapter covers single-stock and index futures as well as their forward equivalent; dividend futures are analysed in Chap. 13. Chapter 1 introduced the basic features of forwards and futures (Sect. 1.3.1) and also outlined the contract specification for the FTSE 100 index future. Sections 4.2 and 4.3 illustrated the valuation principles associated with these products. This chapter assumes that the reader is comfortable with this content.
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Notes
- 1.
This differential is sometimes referred to as ‘the basis’.
- 2.
Quoting conventions may differ between markets.
- 3.
See Sect. 1.3.1
- 4.
The e-mini S&P 500 contract has a contract multiplier of $50
- 5.
$24,000,000/(1923 × $50).
- 6.
£15,000,000/(6863 × £10).
- 7.
If the transaction involves a swap it may sometimes be referred to as an ‘exchange for swap’ (EFS).
- 8.
All calculations assume an actual/actual day basis.
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Schofield, N.C. (2017). Equity Forwards and Futures. In: Equity Derivatives. Palgrave Macmillan, London. https://doi.org/10.1057/978-0-230-39107-9_9
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DOI: https://doi.org/10.1057/978-0-230-39107-9_9
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