strikethree

This is from last year's discussion. So I don't think CFAI will correct it any time soon. It may have been there since the index futures were invented. For example, S& 500 Futures' Contract Size: $250 x S& 500 futures price.

For index futures, the future price is just a level and has no unit. The multiplier in $ is usually fine, but it does cause problem when we calculate the number of [synthetic] units of stock.

For example, on page 361[Vol5].

"The number of units of stocks is

-Nf*q/(1+delta)^T=339($100)/(1.0075)^(2/12)=33,857.81"

The $ is "magically" converted to a unit of stocks.



Edited 1 time(s). Last edit at Friday, April 1, 2011 at 08:10PM by deriv108.