EquityIndexFuture
Description
Create and price an EquityIndexFuture
instrument object for
one or more Equity Index Future instruments using this workflow:
Use
fininstrument
to create anEquityIndexFuture
instrument object for one or more Equity Index Future instruments.Use
ratecurve
to specify a curve model for theEquityIndexFuture
instrument object.Use
finpricer
to specify aFuture
pricing method for one or moreEquityIndexFuture
instruments.Use
cashsettle
to compute the cash settlement for theEquityIndexFuture
instrument andfairdelivery
to compute the fair delivery price for the underlying asset for theEquityIndexFuture
instrument.
For more detailed information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for an
EquityIndexFuture
instrument, see Choose Instruments, Models, and Pricers.
Creation
Syntax
Description
creates an EquityIndexFutureObj
= fininstrument(InstrumentType
,Maturity
=maturity_value,QuotedPrice
=quoted_price)EquityIndexFuture
object for one or more
Equity Index Future instruments by specifying
InstrumentType
and sets the properties
for the required name-value arguments Maturity
and
QuotedPrice
.
The EquityIndexFuture
instrument supports stock index
futures such as NASDAQ 100 and Dow Jones index futures. For more
information, see Equity Index Futures.
sets optional properties
using additional name-value arguments in addition to the required arguments
in the previous syntax. For example, EquityIndexFutureObj
= fininstrument(___,Name=Value
)EquityIndexFutureObj =
fininstrument("EquityIndexFuture",Maturity=datetime(2022,9,1),QuotedPrice=4800,Size=500,Name="equityindexfuture_instrument")
creates an EquityIndexFuture
instrument. You can specify
multiple name-value arguments.
Input Arguments
Properties
Object Functions
cashsettle | Compute cash settlement for BondFuture ,
CommodityFuture , EquityIndexFuture , or
FXFuture instrument |
fairdelivery | Compute fair delivery price of underlying asset for BondFuture ,
CommodityFuture , EquityIndexFuture , or
FXFuture instrument |