Package webcab.lib.finance.futures

Pricing and Hedging of Futures and Forward contracts on stocks, bonds, commodities and indexes.

See:
Description

Class Summary

DailyReporting	Within this class we consider methods related to the daily reporting and management of a futures trading account.
Forwards	Within this class we consider the evaluation of forward contracts and the cash flow implications.
FuturesEvaluation	Within this class we consider evaluation of futures contracts on stocks, bonds and indexes.
FuturesHedging	Within this class we consider the use of futures contracts for the hedging of risks within stock, commodity, bond and currency markets.
FuturesOnCommodities	Within this class we consider the evaluation of futures contracts on commodities of both investment and consumption type.
Interest	Within this class we consider methods for the evaluation of interest bearing investments.

Exception Summary

DailyReportingDemoException	This exception is thrown by the demo version of the DailyReporting class after the number of maximum method calls has been reached.
ForwardsDemoException	This exception is thrown by the demo version of the Forwards class after the number of maximum method calls has been reached.
FuturesEvaluationDemoException	This exception is thrown by the demo version of the FuturesEvaluation class after the number of maximum method calls has been reached.
FuturesHedgingDemoException	This exception is thrown by the demo version of the FuturesHedging class after the number of maximum method calls has been reached.
FuturesOnCommoditiesDemoException	This exception is thrown by the demo version of the FuturesOnCommodities class after the number of maximum method calls has been reached.
InterestDemoException	This exception is thrown by the demo version of the Interest class after the number of maximum method calls has been reached.

Package webcab.lib.finance.futures Description

Pricing and Hedging of Futures and Forward contracts on stocks, bonds, commodities and indexes.

Details of the Functionality Offered

The Futures module implements the following methods and procedures:

• Pricing on investment and consumption assets - Pricing of futures contracts on stocks, bonds, indexes, currencies and commodities:
• Futures on stocks, bonds, indexes - evaluation for assets with or without income, effective gearing.
• Futures on commodities - cost of carry, utility yield.
• Hedging - Portfolio hedging using index futures, optimal hedge ratio.
• Portfolio Hedging - delta hedge a portfolio using the beta coefficient.
• Optimal Hedge Ratio - the optimal ratio of the size of the position taken in futures contracts and the size of the exposure.
• Future Account management - margin, daily P&L,total equity, excess margin.
• Interest calculations - return, compound interest, compounding periods conversion.

Classes contained with the Future module

• FuturesEvaluation - Evaluation of Futures contracts of stock, bonds and indexes.
• FuturesHedging - Use of futures contracts for the hedging of risks within stock, commodity, bond and currency markets.
• FuturesOnCommodities - Evaluation of futures contracts on commodities of both investment and consumption type.
• Forwards - Evaluation of forward contracts and the cash flow implications.
• Interest - Evaluation of interest bearing investments.
• DailyReporting - Related to the daily reporting and management of a futures trading account.