Futures (Listed) 
Use
The price calculator prices listed futures on bonds, interest rates, and indexes.
Integration
In order to calculate the input parameters, the system calls the following function modules:
Prerequisites
To price futures, the system needs the following data:
Transaction data
A par coupon yield curve, or a zero coupon yield curve, in the transaction currency and for the evaluation date
Depending on the nature of the underlying transaction, it may also need additional data:
For futures on indexes, the system also needs the index values on which the underlying transaction is based.
For futures on interest rates, it uses the yield curve to calculate the forward rates for the variable interest payments.
For futures on bonds, the system generates a cash flow that consists of interest payments and a repayment for the fictitious underlying transaction.
If the evaluation currency and the transaction currency of the future are different, then the system calculates the forward exchange rate for the maturity date. This requires the following data:
The relevant exchange rate
A par coupon or zero coupon yield curve in the evaluation currency.
Features
Net Present Value (NPV) Analysis
The price calculator determines the NPV of future transactions. The NPV depends upon whether the horizon is before or after the maturity of the future, and whether the calling application delivers a market data scenario to the price calculator. If the horizon date is after the maturity date, the NPV of the transaction is zero.
If the horizon is before the maturity date, and no market data scenario was provided, then the NPV of a future is zero. This is because the NPV is cleared each day to the margin account or clearing account.
If a market data scenario is provided, the price calculator calculates the difference between the future value of the underlying transaction based on the market data scenario, and the value of the underlying transaction on the horizon date based on the market data for the evaluation date. Cash flows are not discounted to the horizon.
where NPV current is the NPV calculated by using current market data, and NPV scenario is the NPV from scenario data.
The price calculator calculates the NPV of the underlying as follows:
Futures on Bonds
( )
where CF i are the cash flows of the bond, d i are the discounting factors for the cash flows on the maturity date, p is the price defined in contract, and NV is the nominal volume. For technical reasons, the system discounts the cash flows as follows: First, it discounts the cash flows to the evaluation date, and then it discounts them to the maturity date of the future.
Futures on Interest Rates
( )
where contract value is the value of the contract, term is the term of the reference interest rate of the underlying, forward rate yield curve is the forward rate of the underlying on the maturity date based on the yield curve valid on the evaluation date, and forward rate order is the price of the underlying as set out in the contract.
Futures on Indexes
( )
where contract value is the value of the contract, index value expiry date is the value of the index of the underlying discounted to the maturity date, and index value order is the index status of the underlying as set out in the contract.
Sensitivity Analysis and Value-at-Risk Analysis
In the sensitivity analysis and value-at-risk analysis, the system calculates the time value of the underlying on the maturity date of the future, and uses the value as the value of the future. It uses various scenarios to do this (with and without shifts, for example).
If the horizon is before the maturity date of the future, then the NPV of the underlying is always included in the analysis as the value of the future on the maturity date. If the horizon is after the maturity date of the future, then the value of the future is zero.
Note
The exchange rate risk of futures is always displayed as zero. If the evaluation currency and the transaction currency of the future are different, then the transaction is subject to currency risk only on the maturity date, as this is the first point in time when foreign currency is exchanged in return for the underlying. The currency risk on the margin account is ignored, as the clearing accounts are not part of the system.