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I'm working on a project and I'm tasked with calculating the theoretical value of a futures contract for each point in time. Each point in
I'm working on a project and I'm tasked with calculating the theoretical value of a futures contract for each point in time. Each point in time is in a 5 min interval starting @9:40 and ending @ 15:55. I know that I would use Fo = So*e^(r-q)*T but I am stuck on converting T to 5 minute intervals leading all the way up to expiration. For example here is a section of my data.
| Date | Time | S&P 500 spot price | 3-month tbill | Dividend Yield | ES Expiration date |
| 1-Aug-08 | 9:40 | 1267.09 | 1.660% | 2.266% | 19-Sep-08 |
| 1-Aug-08 | 9:45 | 1264.3 | 1.660% | 2.271% | 19-Sep-08 |
| 1-Aug-08 | 9:50 | 1261.8 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 9:55 | 1260.11 | 1.660% | 2.278% | 19-Sep-08 |
| 1-Aug-08 | 10:00 | 1260.99 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 10:05 | 1262.06 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 10:10 | 1256.57 | 1.660% | 2.285% | 19-Sep-08 |
| 1-Aug-08 | 10:15 | 1258.35 | 1.660% | 2.282% | 19-Sep-08 |
| 1-Aug-08 | 10:20 | 1257.09 | 1.660% | 2.284% | 19-Sep-08 |
| 1-Aug-08 | 10:25 | 1255.72 | 1.660% | 2.286% | 19-Sep-08 |
| 1-Aug-08 | 10:30 | 1256.87 | 1.660% | 2.284% | 19-Sep-08 |
| 1-Aug-08 | 10:35 | 1259.31 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 10:40 | 1261.15 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 10:45 | 1259.68 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 10:50 | 1262.1 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 10:55 | 1261.7 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 11:00 | 1261.25 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 11:05 | 1259.21 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 11:10 | 1259.19 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 11:15 | 1259.53 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 11:20 | 1260.7 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 11:25 | 1259.63 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 11:30 | 1260.63 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 11:35 | 1263.67 | 1.660% | 2.272% | 19-Sep-08 |
| 1-Aug-08 | 11:40 | 1263.9 | 1.660% | 2.272% | 19-Sep-08 |
| 1-Aug-08 | 11:45 | 1263.3 | 1.660% | 2.273% | 19-Sep-08 |
| 1-Aug-08 | 11:50 | 1262.12 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 11:55 | 1262.25 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 12:00 | 1262.62 | 1.660% | 2.274% | 19-Sep-08 |
| 1-Aug-08 | 12:05 | 1260.05 | 1.660% | 2.278% | 19-Sep-08 |
| 1-Aug-08 | 12:10 | 1260.5 | 1.660% | 2.278% | 19-Sep-08 |
| 1-Aug-08 | 12:15 | 1261.71 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 12:20 | 1259.56 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 12:25 | 1259.91 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 12:30 | 1259.86 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 12:35 | 1259.03 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 12:40 | 1258.94 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 12:45 | 1259.07 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 12:50 | 1258.61 | 1.660% | 2.281% | 19-Sep-08 |
| 1-Aug-08 | 12:55 | 1256.42 | 1.660% | 2.285% | 19-Sep-08 |
| 1-Aug-08 | 13:00 | 1255.64 | 1.660% | 2.286% | 19-Sep-08 |
| 1-Aug-08 | 13:05 | 1257.04 | 1.660% | 2.284% | 19-Sep-08 |
| 1-Aug-08 | 13:10 | 1257.52 | 1.660% | 2.283% | 19-Sep-08 |
| 1-Aug-08 | 13:15 | 1258.72 | 1.660% | 2.281% | 19-Sep-08 |
| 1-Aug-08 | 13:20 | 1260.88 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 13:25 | 1261.02 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 13:30 | 1262.15 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 13:35 | 1260.61 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 13:40 | 1261.94 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 13:45 | 1262.03 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 13:50 | 1262.77 | 1.660% | 2.274% | 19-Sep-08 |
| 1-Aug-08 | 13:55 | 1262.52 | 1.660% | 2.274% | 19-Sep-08 |
| 1-Aug-08 | 14:00 | 1261.18 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 14:05 | 1258.15 | 1.660% | 2.282% | 19-Sep-08 |
| 1-Aug-08 | 14:10 | 1258.7 | 1.660% | 2.281% | 19-Sep-08 |
| 1-Aug-08 | 14:15 | 1258.04 | 1.660% | 2.282% | 19-Sep-08 |
| 1-Aug-08 | 14:20 | 1258.97 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 14:25 | 1258.4 | 1.660% | 2.281% | 19-Sep-08 |
| 1-Aug-08 | 14:30 | 1259.5 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 14:35 | 1259.33 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 14:40 | 1258.73 | 1.660% | 2.281% | 19-Sep-08 |
| 1-Aug-08 | 14:45 | 1260.92 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 14:50 | 1261.76 | 1.660% | 2.275% | 19-Sep-08 |
| 1-Aug-08 | 14:55 | 1261.17 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 15:00 | 1261.68 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 15:05 | 1259.85 | 1.660% | 2.279% | 19-Sep-08 |
| 1-Aug-08 | 15:10 | 1259.26 | 1.660% | 2.280% | 19-Sep-08 |
| 1-Aug-08 | 15:15 | 1260.66 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 15:20 | 1261.4 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 15:25 | 1261.07 | 1.660% | 2.277% | 19-Sep-08 |
| 1-Aug-08 | 15:30 | 1261.57 | 1.660% | 2.276% | 19-Sep-08 |
| 1-Aug-08 | 15:35 | 1263.02 | 1.660% | 2.273% | 19-Sep-08 |
| 1-Aug-08 | 15:40 | 1264.72 | 1.660% | 2.270% | 19-Sep-08 |
| 1-Aug-08 | 15:45 | 1264.37 | 1.660% | 2.271% | 19-Sep-08 |
| 1-Aug-08 | 15:50 | 1264.34 | 1.660% | 2.271% | 19-Sep-08 |
| 1-Aug-08 | 15:55 | 1263.48 | 1.660% | 2.272% | 19-Sep-08 |
| 4-Aug-08 | 9:40 | 1254.78 | 1.750% | 2.288% | 19-Sep-08 |
| 4-Aug-08 | 9:45 | 1254.31 | 1.750% | 2.289% | 19-Sep-08 |
| 4-Aug-08 | 9:50 | 1252.55 | 1.750% | 2.292% | 19-Sep-08 |
| 4-Aug-08 | 9:55 | 1253.09 | 1.750% | 2.291% | 19-Sep-08 |
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Introduction To Finance Financial Management And Investment Management
Authors: Pamela P. Drake, Frank J. Fabozzi, Francesco A. Fabozzi
1st Edition
9811239657, 978-9811239656
