F term = 120 days div @ 50, @ 100, @150 days if we are asked for value of contract after 55 days V55 = (Spot55 - PVD) - PV(forward price) my question relates to the calculation of PVD. since the forward price is calculated inclusive of the PV of the dividends at 50 and 100 days, what value are we calculating in the PVD portion of V55? is it PV(div @100) or PV(div @50 and div @ 100)?

V(55) = [S(55) - PVD(55)] - PV(FP) Here PVD(55) means in between 55 (Today) and 120 (contract maturity date), how many of the dividends you are eligibile to collect, and the PV of those dividends is what is PVD(55) Thus to answer you question It will be - PV(div @ 100) only. Since Div at 50 already passed (as we are on 55th day now) and Div at 150 is an event which occurs after contract maturity (120 days).

ok, so it’s the PV of remaining dividends

… on or before the contract expiration date only. Here the dividend at 150th day will not be considered as the contract expires in 120 days.

yep. thanks

what section is this, guys?

It’s Futures and Forwards Contracts from Derivatives.