Index Futures - fair value

smiley486 · February 18th, 2008, 10:50 pm

Hi,Does anyone know of a program which calculates the fair value for index futures in real time?If not, what data is required?Anyone know the formula? has anyone programmed this before?Thanks,Paul

eye51 · February 19th, 2008, 7:14 am

Come on.. You can do this yourself after you have read Hull.You need the basket, dividends and interest curve.. Then depending how accurate you want to do, you might also include div. tax issues, settlement, short-stock fee cost ect.