Forward contractの計算

Forward contract price
FP = S0 × (1 + Rf)^T

forward overpriced:borrow money ⇒ buy (go long) the spot asset ⇒ go short the asset in the forward
forward underpriced:borrow asset ⇒ short (sell) spot asset ⇒ lend money ⇒ long (buy) forward
Equity Forward Contracts
FP (of an equity security) = (S0 − PVD) × (1 + Rf)^T
FP (of an equity security) = [S0 × (1 + Rf)^T] − FVD
PVD:present value of the expected dividends
PVD=D/r^(t1/365)+D/r^(t2/365)

FVD:future value of the dividends

Vt(long position)=[St–PVDt]−[FP/{(1+Rf)^(T−t)}]

equity index forward contract

FP(on an equity index)=S0×e{(Rcf−δc)×T}={S0×e(–δc×T)}×e(Rcf×T)
Rcf=continuously compounded risk-free rate
δc=continuously compounded dividend yield