Help, what is implied financing for futures?

DFT · February 19th, 2009, 3:57 am

Anyone can tell me what is implied financing of futures and how to calculate it? Thanks.

Martinghoul · February 19th, 2009, 7:00 am

If I understand your question correctly, it would depend on your margining arrangements (mine will be, most likely, different to yours). EDIT: DUH! Sorry, should have paid attention to the word 'implied'.

DFT · February 19th, 2009, 9:50 am

It seems to me the implied financing rate is the implied rate which can make put-call parity valid based on the market observed put call prices. I need to know exact definition.

daveangel · February 19th, 2009, 10:21 am

use put/call parity to figure out the implied forward price of the assetF = (c - p) * exp(rT) + Konce you know F, then the implied funding rate isRimp = ln(F/S) * (1/T) + q where q are the carry benefits (divs, coupons etc)

Sever · February 19th, 2009, 11:24 am

Don't think you need to involve options here. I think by implied financing of futures you simply mean the implied interest rate at which futures trades compared to spotcheersAndrew

DFT · February 19th, 2009, 1:56 pm

Thanks a lot. I think this is what I need.