forward {FinancialMath} | R Documentation |
Forward Contract
Description
Gives a table and graphical representation of the payoff of a forward contract, and calculates the forward price for the contract.
Usage
forward(S,t,r,position,div.structure="none",dividend=NA,df=1,D=NA,k=NA,plot=FALSE)
Arguments
S |
spot price at time 0 |
t |
time of expiration (in years) |
r |
continuously compounded yearly risk free rate |
position |
either buyer or seller of the contract ("long" or "short") |
div.structure |
the structure of the dividends for the underlying ("none", "continuous", or "discrete") |
dividend |
amount of each dividend, or amount of first dividend if k is not NA |
df |
dividend frequency- number of dividends per year |
D |
continuous dividend yield |
k |
dividend growth rate per df |
plot |
tells whether or not to plot the payoff |
Details
Stock price at time t
Long Position: payoff = - forward price
Short Position: payoff = forward price -
If div.structure = "none"
forward price
If div.structure = "discrete"
Number of dividends:
if k = NA: forward price dividend
if k != j: forward price dividend
if k = j: forward price dividend
If div.structure = "continuous"
forward price
Value
A list of two components.
Payoff |
A data frame of different payoffs for given stock prices. |
Price |
The forward price of the contract. |
Note
Leave an input variable as NA if it is not needed (ie. k=NA if div.structure="none").
See Also
Examples
forward(S=100,t=2,r=.03,position="short",div.structure="none")
forward(S=100,t=2,r=.03,position="long",div.structure="discrete",dividend=3,k=.02)
forward(S=100,t=1,r=.03,position="long",div.structure="continuous",D=.01)