SPOT PRICES (PREÇOS INSTANTÂNEOS)
SIMULAÇÃO DE SISTEMAS
Disciplina: Método Monte Carlo
SPOT PRICES (PREÇOS INSTANTÂNEOS)
In finance, a spot contract, spot transaction, or simply spot, is a contract of buying or selling a commodity, security or currency forsettlement (payment and delivery) on the spot date, which is normally two business days after the trade date. The settlement price (or rate) is called spot price (or spot rate). A spot contract is in contrast with a forward contract or futures contract where contract terms are agreed now but delivery and payment will occur at a future date.
1 Spot prices and future price expectations
2 Spot date
4 See also
Spot prices and future price expectations
Depending on the item being traded, spot prices can indicate market expectations of future price movements in different ways. For a security or non-perishable commodity (e.g. silver), the spot price reflects market expectations of future price movements. In theory, the difference in spot and forward prices should be equal to the finance charges, plus any earnings due to the holder of the security, according to the cost of carry model. For example, on a share the difference in price between the spot and forward is usually accounted for almost entirely by any dividends payable in the period minus the interest payable on the purchase price. Any other cost price would yield an arbitrage opportunity and riskless profit (see rational pricing for the arbitrage mechanics).
In contrast, a perishable or soft commodity does not allow this arbitrage – the cost of storage is effectively higher than the expected future price of the commodity. As a result, spot prices will reflect current supply and demand, not future price movements. Spot prices can therefore be quite volatile and move independently from forward prices. According to the unbiased forward hypothesis, the difference between these prices will equal the expected price change of the commodity over the period.
Main article: spot date
In finance, the spot date of a transaction is the normal settlement day when the transaction is done today. This kind of transaction is referred to as a spot transaction or simply spot.The spot date may be different for different types of financial transactions. In the foreign exchange market, spot is normally two banking days forward for the currency pair traded. A transaction which has settlement after the spot date is called a forward or a forward contract.
Other settlement dates are also possible. Standard settlement dates are calculated from the spot date. For example, a one month foreign exchange forward settles one month after the spot date. I.e., if today is 1 February, the spot date is 3 February and the one month date is 3 March (assuming these dates are all business days). For a trade with two dates, such as a foreign exchange swap, the first date is usually taken as the spot date.
Spot rates are estimated via the bootstrapping method, which uses prices of the securities currently trading in market, that is, from the cash or coupon curve. The result is the spot curve, which exists for each of the various classes of securities.
Main article: foreign exchange spot
A simple example: Even if you know tomatoes are cheap in July and will be expensive in January, you can't buy them in July and take delivery in January, since they will spoil before you can take advantage of January's high prices. The July price will reflect tomato supply and demand in July. The forward price for January will reflect the market's expectations of supply and demand in January. July tomatoes are effectively a different commodity from January tomatoes (contrast contango and backwardation).
Artigos Sugeridos pela "ensinoeinformacao.com":
ECONOMIA/PESQUISA OPERACIONAL - Keywords: Spot Prices, Simulation, Reliability.
ECONOMIA/SIMULAÇÃO/MÉTODO MONTE CARLO/PROCESSOS ESTOCÁSTICOS (CADEIAIS DE MARKOV)/PROGRAMAÇÃO DINÂMICA
Definição de "Spot Price"
O preço atual em que um determinado título pode ser comprado ou vendido em um determinado momento e lugar. Preço à vista de um título é considerado como o valor explícito da segurança em um determinado momento no mercado. Em contraste, um preço de futuros de títulos é o valor esperado da segurança, em relação ao seu atual preço à vista e prazo em questão.
Investopedia explica "Spot Price"
Os preços à vista são mais frequentemente utilizados em relação aos preços dos contratos futuros de títulos, normalmente commodities. Em futuros de commodities de preços, o preço de futuros é determinado com preço à vista da mercadoria, a taxa livre de risco e faixa de vencimento do contrato (juntamente com todos os custos associados com o armazenamento ou conveniência). Usando os mesmos insumos, preço à vista de um título também pode ser determinado tendo em conta o preço de futuros.
What it is:
The spot price is the current market price at which an asset is bought or sold for immediate payment and delivery. It is differentiated from the forward price or the futures price, which are prices at which an asset can be bought or sold for delivery in the future.
How it works/Example:
On November 29, 2010, the spot price of gold was $1,367.40 per ounce on the New York Commodities Exchange (COMEX). That was the price at which one ounce of gold could be purchased at that particular moment in time. The spot price for a bushel of wheat was about $648 on the same day.
On November 29, 2010, the futures price for an ounce of gold to be delivered in December 2011 was $1,373.20. The futures price for December 2011 delivery of a bushel of wheat was about $764.
Large differences between the spot price and the futures price can exist because the market is always trying to look ahead to predict what prices will be. Futures prices can be either higher or lower than spot prices, depending on the outlook for supply and demand of the asset in the future.
Why it Matters:
The spot price is important in and of itself because it is the price at which buyers and sellers agree to value an asset. But spot price becomes an even more important concept when it's viewed through the eyes of the $3 trillion derivatives market.
Spot prices are continually changing -- they fluctuate according to varying supply and demand. To mitigate the risk of continuously changing prices, investors created derivatives. Derivatives such as forwards, futures and options allow buyers and sellers to "lock in" the price at which they buy or sell an asset in the future. Locking in prices with derivatives is one of the most common ways investors reduce risk.
If you're interested in trading futures contracts, find out which brokers have the right tools by readingEssential Trade Tools for the Advanced Investor and The Ultimate Guide to Profiting from the Commodity Super Cycle.