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Dow Jones Industrials Futures Fair Value
 PREMIUM /
DISCOUNT 		PREMIUM /
DISCOUNT 		PREMIUM /
DISCOUNT 		EXP
FOR 02/05AT LIBOR RATEAT TREAS. BILL RATEAT COMB. AVGDAYS
YMH08 / DJH08-6.6 @ 3.17%-23.0 @ 2.13%-14.8 @ 2.65%45
YMM08 / DJM0814.6 @ 3.11%-28.6 @ 2.21%-7.0 @ 2.66%136
\n'); document.write('The fair value of a Dow futures contract expiring in T days is:\n\n'); document.write('\n\n'); document.write(' Fair Value = DJIA [1 + rT/360] - D,\n\n'); document.write('\n\n'); document.write('where r is an annualized short-term rate of interest, such as a EuroDollar or \n\n'); document.write('Treasury bill rate, and d represents the dividends, in index points, until \n\n'); document.write('the futures expiration.\n\n'); document.write('\n\n'); document.write('The premium--or discount-- is the difference between this fair value and the Dow:\n\n'); document.write('\n\n'); document.write(' Futures Premium (or Discount) = Fair Value - Dow = Dow rT/360 - D\n\n'); document.write('\n\n'); document.write('The fair value is a price consistent with the current value of the Dow.\n\n'); document.write('Since a Dow futures contract is a commitment to buy or sell the Dow at \n\n'); document.write('the futures expiration date, its price includes the cost of financing the\n\n'); document.write('Dow until expiration less dividends distributed before this date.\n\n'); document.write('
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