Quantora · Derivatives Desk
Futures & FX Forwards
A future or forward is just spot plus the cost of carrying the asset to delivery. Quantora computes the fair value both ways - cost-of-carry for index and commodity futures, covered interest parity for FX forwards - and flags the basis when the market disagrees.
1. Futures fair value (cost of carry)
F = S · e^(r + storage − yield)·T. Enter a market futures price to see the basis.
2. FX forward (covered interest parity)
F = S · e^(r_domestic − r_foreign)·T. The higher-rate currency trades at a forward discount.
The cost-of-carry idea is an arbitrage: if you can borrow at the risk-free rate, buy the asset, collect any yield and pay any storage, then a future must equal that all-in carried cost - otherwise there's free money. For stock-index futures the yield is the dividend yield, so futures usually trade slightly below a naive spot-plus-interest number; for commodities, storage pushes them above, unless a convenience yield (the value of holding the physical) pulls them back into backwardation. The basis is market minus fair; persistent basis hints at funding, borrow, or supply-demand frictions the simple model ignores. For currencies the same logic becomes covered interest parity: you can't earn a higher foreign interest rate risk-free, because the currency with the higher rate is priced to depreciate in the forward exactly enough to cancel the pickup.