The market price calculator for spot stock transactions calculates current market values. It also calculates market values and time values for a future point in time (horizon).

Spot stock transactions of the same security class are put together to form a position and valuated as such.

The market value of a position on an evaluation date (horizon) is calculated as the product of the number of stocks in the position (for short positions, multiply by -1) and the stock price on the evaluation date (forward stock price on the horizon).

The future price of the stock on the horizon is not known. What we want, however, is that the stock is in our position on the horizon of the transaction. To do this, you can either purchase the stock at the price on the evaluation date and hold it till the horizon (and get the dividend payments), or buy the stock on horizon at the forward price. Assuming there is no arbitrage, both transactions have the same value, and the forward price on the horizon is calculated as follows:

with:

• Forward value: Stock price on due date of transaction
• NPV (forward price): NPV of forward price on evaluation date
• ACT: Current (actual) price of stock
• DIVi: Expected dividend

NPV(DIVi): NPV of expected dividend on evaluation date. This is not calculated for the current release. Instead, the forward price is set to the current price.

To valuate a spot stock transaction, the transaction data and the stock price have to be specified for the evaluation date.

If the horizon comes after the evaluation data, a parcoupon or zero coupon yield curve has to be entered for the evaluation date in the transaction currency.

If the display currency differs from that of the transaction currency, you will need the relevant exchange rate. If the horizon comes after the evaluation date and the transaction currency differs from the display currency, then you have to enter a parcoupon or zero coupon yield curve so that the forward exchange rate can be calculated for the horizon.

If the horizon comes after the evaluation date, you will need zero bond discounting factors to determine the forward stock price.

If the display currency differs from that of the transaction currency, the exchange rate on the horizon is used to convert from the transaction currency into the display currency. If the horizon comes after the evaluation date, the forward exchange rate will be calculated from the exchange rate on the evaluation date using the yield curves from the transaction and display currencies.

The NPV of the stock position (in transaction currency) is the product of the forward price on the horizon and the number of stocks in the position (multiplied by -1 for short positions).

Note the following definitions:

• No.: Number of stocks to be bought/sold on due date.
• DIVi: i^th expected dividend payment (not used in current release).
• NPV(DIVi): NPV of the dividend payments on the horizon.
• ACT: Stock price on evaluation date.
• ZW(ACT): Stock price valid on horizon
• B: Buy/sell indicator
• NPV: Net present value

If the display currency differs from the transaction currency, the NPV is converted using the (forward) exchange rate.