webcab.lib.finance.futures
Class FuturesEvaluation

java.lang.Object
  |
  +--webcab.lib.finance.futures.FuturesEvaluation

All Implemented Interfaces:

Serializable

public class FuturesEvaluation

extends Object

implements Serializable

Within this class we consider evaluation of futures contracts on stocks, bonds and indexes.

See Also:

Serialized Form

Constructor Summary

FuturesEvaluation()
Creates a new instance.

Method Summary

int	aggregatePosition(int shortContracts, int longConctracts) Calculates the aggregate number of futures contract held.
double	futureOnCurrencies(double exchangeRate, double riskFreeForeign, double riskFreeBase, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Calculates the price of a futures contract on currencies.
double	futureOnCurrencies(double exchangeRate, double riskFreeForeign, double riskFreeBase, double timeToMaturity) Calculates the price of a futures contract on currencies.
double	futureOnIndex(double indexValue, double yield, double riskFree, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Calculates the price of a index future.
double	futureOnIndex(double indexValue, double yield, double riskFree, double timeToMaturity) Calculates the price of a index future.
double	futuresPriceNoIncome(double price, double riskFree, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluates the futures price on an asset which does not pay an income.
double	futuresPriceNoIncome(double price, double riskFree, double timeToMaturity) Evaluates the futures price on an asset which does not pay an income.
double	futuresPriceWithDividend(double price, double yield, double riskFree, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluates the future price on an asset which has a continuous yield.
double	futuresPriceWithDividend(double price, double yield, double riskFree, double timeToMaturity) Evaluates the future price on an asset which has a continuous yield.
double	futuresPriceWithIncome(double price, double income, double riskFree, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Evaluates the futures price on an asset which pays a known income during the life of the contract.
double	futuresPriceWithIncome(double price, double income, double riskFree, double timeToMaturity) Evaluates the futures price on an asset which pays a known income during the life of the contract.
double	gearing(double margin) Calculates the effective gearing factor from holding an exchange traded futures contract.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FuturesEvaluation

public FuturesEvaluation()

Creates a new instance.

Method Detail

aggregatePosition

public int aggregatePosition(int shortContracts,
                             int longConctracts)
                      throws FuturesEvaluationDemoException

Calculates the aggregate number of futures contract held.

Parameters:

shortContracts - the number of future contracts sold short

FuturesEvaluationDemoException

futuresPriceNoIncome

public double futuresPriceNoIncome(double price,
                                   double riskFree,
                                   Date evaluationDate,
                                   Date maturityDate,
                                   BusinessCalendar businessCalendar)
                            throws FuturesEvaluationDemoException

Evaluates the futures price on an asset which does not pay an income.

Parameters:

price - the present price of an asset

riskFree - the continuously compounded risk free interest rate during the life of the futures contract

evaluationDate - the date when the futures contract is evaluated

maturityDate - the date when the futures contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesEvaluationDemoException

futuresPriceNoIncome

public double futuresPriceNoIncome(double price,
                                   double riskFree,
                                   double timeToMaturity)
                            throws FuturesEvaluationDemoException

Evaluates the futures price on an asset which does not pay an income.

Parameters:

price - the present price of an asset

riskFree - the continuously compounded risk free interest rate during the life of the futures contract

timeToMaturity - the time period (in years) until the futures contract expires

FuturesEvaluationDemoException

futuresPriceWithIncome

public double futuresPriceWithIncome(double price,
                                     double income,
                                     double riskFree,
                                     Date evaluationDate,
                                     Date maturityDate,
                                     BusinessCalendar businessCalendar)
                              throws FuturesEvaluationDemoException

Evaluates the futures price on an asset which pays a known income during the life of the contract. This could be a futures contract on a bond or dividend paying stock.

Parameters:

price - the present price of an asset

income - the present value of the income from the underlying asset during the life of the future contract

riskFree - the continuously compounded risk free interest rate during the life of the future contract

evaluationDate - the date when the futures contract is evaluated

maturityDate - the date when the futures contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesEvaluationDemoException

futuresPriceWithIncome

public double futuresPriceWithIncome(double price,
                                     double income,
                                     double riskFree,
                                     double timeToMaturity)
                              throws FuturesEvaluationDemoException

Evaluates the futures price on an asset which pays a known income during the life of the contract. This could be a futures contract on a bond or dividend paying stock.

Parameters:

price - the present price of an asset

income - the present value of the income from the underlying asset during the life of the future contract

riskFree - the continuously compounded risk free interest rate during the life of the future contract

timeToMaturity - the time period (in years) until the futures contract expires

FuturesEvaluationDemoException

futuresPriceWithDividend

public double futuresPriceWithDividend(double price,
                                       double yield,
                                       double riskFree,
                                       Date evaluationDate,
                                       Date maturityDate,
                                       BusinessCalendar businessCalendar)
                                throws FuturesEvaluationDemoException

Evaluates the future price on an asset which has a continuous yield.

Parameters:

price - the present price of the underlying asset

yield - the continuously compounded yield from the underlying asset

riskFree - the continuously compounded risk free interest rate during the life of the futures contract

evaluationDate - the date when the futures contract is evaluated

maturityDate - the date when the futures contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesEvaluationDemoException

futuresPriceWithDividend

public double futuresPriceWithDividend(double price,
                                       double yield,
                                       double riskFree,
                                       double timeToMaturity)
                                throws FuturesEvaluationDemoException

Evaluates the future price on an asset which has a continuous yield.

Parameters:

price - the present price of the underlying asset

yield - the continuously compounded yield from the underlying asset

riskFree - the continuously compounded risk free interest rate during the life of the futures contract

timeToMaturity - the time until the futures contract expires

FuturesEvaluationDemoException

futureOnIndex

public double futureOnIndex(double indexValue,
                            double yield,
                            double riskFree,
                            Date evaluationDate,
                            Date maturityDate,
                            BusinessCalendar businessCalendar)
                     throws FuturesEvaluationDemoException

Calculates the price of a index future.

Parameters:

indexValue - the value of the index

riskFree - the continuously compounded risk free interest rate

yield - the average yield of the index during the life of the futures contract

evaluationDate - the date when the futures contract is evaluated

maturityDate - the date when the futures contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesEvaluationDemoException

futureOnIndex

public double futureOnIndex(double indexValue,
                            double yield,
                            double riskFree,
                            double timeToMaturity)
                     throws FuturesEvaluationDemoException

Calculates the price of a index future.

Parameters:

indexValue - the value of the index

riskFree - the continuously compounded risk free interest rate

yield - the average yield of the index during the life of the futures contract

timeToMaturity - time to maturity of the futures contract

FuturesEvaluationDemoException

futureOnCurrencies

public double futureOnCurrencies(double exchangeRate,
                                 double riskFreeForeign,
                                 double riskFreeBase,
                                 Date evaluationDate,
                                 Date maturityDate,
                                 BusinessCalendar businessCalendar)
                          throws FuturesEvaluationDemoException

Calculates the price of a futures contract on currencies.

Parameters:

exchangeRate - the exchange rate between the two currencies

riskFreeBase - the risk free interest rate in the domestic currency

riskFreeForeign - the risk free interest rate in the foreign currency

evaluationDate - the date when the futures contract is evaluated

maturityDate - the date when the futures contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesEvaluationDemoException

futureOnCurrencies

public double futureOnCurrencies(double exchangeRate,
                                 double riskFreeForeign,
                                 double riskFreeBase,
                                 double timeToMaturity)
                          throws FuturesEvaluationDemoException

Calculates the price of a futures contract on currencies.

Parameters:

exchangeRate - the exchange rate between the two currencies

riskFreeBase - the risk free interest rate in the domestic currency

riskFreeForeign - the risk free interest rate in the foreign currency

timeToMaturity - the time to maturity of the futures contract

FuturesEvaluationDemoException

gearing

public double gearing(double margin)
               throws FuturesEvaluationDemoException

Calculates the effective gearing factor from holding an exchange traded futures contract.

Parameters:

margin - the margin required in percent (i.e. 4% for FX positions) in order to hold the futures contract.

FuturesEvaluationDemoException