Money Market

• Future Pricer
  • future_pricer()
  • future_pricer()
  • Formula
  • Limitations

torchquantlib.core.asset_pricing.money.future_pricer.future_pricer(spot: Tensor, domestic_rate: Tensor, foreign_rate: Tensor, expiry: Tensor) → Tensor

Calculate the theoretical price of a futures contract.

This function computes the fair price of a futures contract using the cost-of-carry model. It assumes continuous compounding and no dividends or storage costs.

Parameters:

• spot (Tensor) – The current spot price of the underlying asset.

• domestic_rate (Tensor) – The domestic risk-free interest rate (as a decimal).

• foreign_rate (Tensor) – The foreign risk-free interest rate (as a decimal).

• expiry (Tensor) – The time to expiration of the futures contract (in years).

Returns:

The theoretical futures price.

Return type:

Tensor

Formula:

Futures Price = Spot Price * e^(domestic_rate - foreign_rate * time to expiry)

Note

• This model assumes perfect markets with no transaction costs or taxes.

• For commodities or dividend-paying stocks, additional factors would need to be considered in the pricing model.