Equity Index Future

The asset type EquityIndexFuture describes exchange trades futures contracts with stock indices as underlying.

Available equity index futures

The following table shows a list of all available futures contracts in OPAS:

ATX

Austrian ATX future, traded at ÖTOB

MDAX

German MDAX future, traded at EUREX

DAX

German DAX future, traded at EUREX

CAC40

French CAC40 future, traded at MATIF

FTSE

British FTSE future, traded at LIFFE

MIB 30

Spanish MIB30 future, traded at MIF

PSI 20

Portuguese PSI 20 future, traded at BDP

ND100

US-American ND100 future, traded at CME

S&P 500

US-American S&P 500 future, traded at CME

DJIA

US-American DJIA future, traded at CBOT

NYSE

US-American NYSE future, traded at NYSE

You can select every tradable contract month as a valid asset. New contract months are recognized by OPAS automatically.

You find the futures contracts in the folder PreLoadedAssets either, sorted by country, in a subfolder called <currency>.IndexFuture or, sorted by type, in a subfolder called IndexFuture.

The following picture shows an example of a equity index future. You can open this menu from the assets window by clicking on a single EquityIndexFuture asset and choose Inspect/Edit.

Equity Index Future Overview

Picture 1): Equity Index Future: Overview

Here you can enter the transaction cost for the futures contract and possible allocation constraints. Far left you see a button to get more details about the Index future.

You can edit the multiplier, which defines the size of the contract. Opas has defined the multipliers of all contracts according to the exchange's specifications. So, you should never have to change the multiplier.

If you like to see the possible price paths in the simulation you can click the Visualize field (it is marked in the above window). The simulation process needs more time for calculation the more assets you have clicked as “visualize” in the simulation process.

Tip:    For a rapid simulation process you should carefully limit the number of asset for which the visualization is turned on.

The following window is opened when you click the EquityIndexFuture button:

Equity Index Future Details

Picture 2): Equity Index Future: Details

The following details can be seen in the above window:

Type

Asset type EquityIndexFuture

EquityIndex

Underlying Index

Currency

Denominated currency

Yield Curve

Name of the Yield Curve used for valuation

Exchange

Exchange where the contract is listed

Expiry Date

Expiry Date of the futures contract

Price Level

Last price for the future

LevelDate

Date of the last price