Forward and futures pricing for stocks and commodities Best Workbook For CFA FRM 2022

Stock market prices

Using the following table providing different factors like interest rate, storage cost, dividend yield, calculate forward price. Assume Underlying price of $1000 for all cases.

Type of underlyingInterest rate(CC)Storage costDividendLease(L)/ CYTime to maturityForward price
Stock7% Y= 2% 6M 
Stock6% A=$25 due in 3 months 12M 
Stock10% A=$25 due in 6 months 3M 
Commodity5%$100 paid in advance  6M 
Commodity6%$50 paid at the end of contract CY=1%6M 
Commodity2%$50 paid at the end of 3 months CY = 2%6M 
Commodity4%$10 Paid every month (at the start of the month)  6M 
Commodity2.5%$10 paid every month (at the end of month)  6M 
Commodity6%  L=3%  
Commodity1%$20 paid in advance CY = 5%  

Note: CC = Continuously compounded. CY = Convenience Yield, Y = Yield form, A = Amount, M = months.


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