Good day I would like some assistance on the calculation to work out how much a particular share’s return has contributed to an index return over a period of time. I have data on the underlying share: number of shares in the index, price and index weight. I have price data on the index. Would I need...

Thank you so much frolloos - much appreciated

Frolloos - I am trying to solve question 3) - value of a compl fwd

list1 - the equity here is an index and r = interest - dividends; I chose continuous compounding to work out the value of the index equity forward. I could do discreet, but thought that this way would be simpler

Good day   I would like to double check that I have this formula correct for the pricing of an equity forward in a different currency.   S = Equity spot in USD f = Equity fwd in USD = Se^rt FXS = USDZAR spot (base is USD) FXf = USDZAR fwd = FXS x (1 + ZAR rates x t) / (1 + USD rates x t) f* = Equity...

Hi AllDo you have any details / knowledge of trading software (broker) that interfaces with Matlab.If I have my algos in Matlab and updated in real time, is there a way to use the signals to generate order tickets to then be executed in the market?Thanks!

<t>Good DayI am looking at turn of the month effects in equity markets and the majority of research uses the S&P500 market. My question is whether there are other markets that exhibit similar effects, be it either DM or EM?In addition, what are the popular strategies that one would trade - delta...

Thanks v much Alan. This is a good idea. I will keep this thread updated on the progress. It will be interesting to look at arbitrage opportunities in EM - I have no doubt they exists, but the interesting analysis would be to see whether liquidity allows you to take advantage of them.

<t>Good day All I would like to present a broad question and hopefully through the forum narrow the discussion down to a few key focus areas. I am looking to start a research assignment on 6 emerging markets, specifically to look at their equity derivative markets. The purpose of the research and an...

Thank you v much!My first post - will make sure its in the correct forum next time.

<r>Good day, I am working through the calculation of the fair value for a futures contract and have a question specifically regarding the treatment of dividends within the calculation.I see the calculation as follows:Future = spot + interest ? PV (dividends)Where PV (dividends) = present value of th...