Methodology for Theoretical Price
The theoretical futures price shall be calculated as per the below formula
Theoretical future price = cash price+ financing cost – Income on cash positions
Where,
Cash price of the underlying = Clean price + Accrued interest
Financing cost = Financing cost for the period on Cash price
Income on cash position = Accrued interest expected to be received on expiry + Coupon payment + Interest on coupon payment
The component of coupon payment and interest on coupon payment are applicable in case of any coupon payments falling during the holding period.
The clean price of the underlying security shall be arrived as under or as per the method specified by relevant authority from time to time-
a) Weighted average price of the respective underlying bond in last two hours of trading on NDS-OM
b) If no trades are executed in the underlying bond then, a theoretical price with reference to FIMMDA rates shall be used
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