FinMath.FuturesPrice (Double, Double, Double, Double) Method

Namespace: OberMind.Quant
Assembly: OberMind (in OberMind.dll)
Futures contract price with known income
VB
C#
F#
C++
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public static double FuturesPrice( 
   double S, 
   double t, 
   double r, 
   double I 
)
This language is not supported or no code example is available.
VB
C#
F#
C++
JScript
Copy 
public:  
static double FuturesPrice( 
   double S, 
   double t, 
   double r, 
   double I 
) 
This language is not supported or no code example is available.
VB
C#
F#
C++
JScript
Copy 
public static function FuturesPrice( 
    S : double, 
    t : double, 
    r : double, 
    I : double 
) : double;
This language is not supported or no code example is available.

Parameters

S
double

spot price of underlying (asset)

t
double

time to maturity (fraction of year, f.ex. 0.5 for six months)

r
double

risk-free interst rate (continuous, decimal, f.ex. 0.1 for 10%)

I
double

known income over time to maturity (f.ex. dividend payments)

Return Value

double
Remarks
 
FuturesPrice = (S-I)*exp(r*t)
See Also
 

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Definition