Pricer
Fair value and implied funding, dividend or all-in for SX5E synthetics and TRFs. Edit any cell; the row re-solves.
| Valuation date | Spot | €STR (cc, %) | EQL spread (%) |
|---|---|---|---|
| 2026-08-11 | 6,551.22 | 2.000 | 0.500 |
Spot starts at the SX5E close on 11 Aug 2026 and ticks up by U(0, 1) ten times a second (typing a spot pauses it as a what-if; Resume returns to the live spot); €STR is a placeholder. TRF day counts use 2-weekday settlement (no holidays). Continuous compounding, t in years on ACT/360. Synth is quoted as the switch vs spot: F·e−(r+EQL)t − S.
| Expiry | Solve for | Fwd (pts) | Synth (pts vs spot) | TRF (bp) | Term Funding (bp) | Forward Funding (bp) | Gross div (pts) | All In % | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Bid | Mark | Ask | Bid | Mark | Ask | Bid | Mark | Ask | Bid | Mark | Ask | Bid | Mark | Ask | Bid | Mark | Ask | Bid | Mark | Ask | ||
| Dec262026-12-18 | Funding | 6,583.19 | 6,583.43 | 6,583.67 | -26.74 | -26.50 | -26.27 | 61.50 | 62.50 | 63.50 | 44.64 | 45.64 | 46.63 | 44.64 | 45.64 | 46.63 | 30.58 | 30.58 | 30.58 | 87.00 | 87.00 | 87.00 |
| Dec272027-12-17 | Funding | 6,560.31 | 6,560.99 | 6,561.67 | -211.71 | -211.05 | -210.39 | 83.50 | 84.25 | 85.00 | 46.83 | 47.57 | 48.30 | 47.26 | 48.26 | 49.26 | 248.83 | 248.83 | 248.83 | 87.00 | 87.00 | 87.00 |
| Dec282028-12-15 | Funding | 6,348.78 | 6,350.78 | 6,352.78 | -569.25 | -567.37 | -565.48 | 89.00 | 90.25 | 91.50 | 33.40 | 34.61 | 35.82 | 14.13 | 16.99 | 19.85 | 658.08 | 658.08 | 658.08 | 87.00 | 87.00 | 87.00 |
| Dec292029-12-21 | Funding | 5,955.48 | 5,957.80 | 5,960.11 | -1,082.56 | -1,080.43 | -1,078.30 | 94.00 | 95.00 | 96.00 | 20.48 | 21.44 | 22.39 | -12.25 | -9.07 | -5.89 | 1,254.08 | 1,254.08 | 1,254.08 | 87.00 | 87.00 | 87.00 |
| Dec302030-12-20 | Funding | 5,369.25 | 5,375.31 | 5,381.38 | -1,743.93 | -1,738.50 | -1,733.08 | 97.00 | 99.00 | 101.00 | 5.83 | 7.74 | 9.64 | -46.90 | -38.55 | -30.20 | 2,031.08 | 2,031.08 | 2,031.08 | 87.00 | 87.00 | 87.00 |
Each row has one equation, so three slots are lit and one is solved. Fwd, Synth and TRF are three quotes of the same forward and share the price slot. "Solve for" picks the solved slot per row (or for all rows from its header): Prices derives Fwd/Synth/TRF from the assumptions; an assumption is implied from the quoted price. Term and Forward Funding are two views of one input: forward funding runs from the previous tenor's expiry (at its term-funding mark) to this one, and typing either sets the other. Solved cells are read-only. Marks are a static reference: solved once at start-up from the run's set-up (TRF mid, schedule dividends, 87% all-in) and held — bid/ask edits and market moves (e.g. spot ticks) only reprice bid/ask; rolling an expiry takes that expiry's start-up marks. Each side of a solved value takes the input sides that push it that way (e.g. Synth bid uses Div ask), so outputs never cross unless an input is crossed (bid above ask, shown in red). Gross div is cumulative from valuation to expiry. Editing a Div bid/ask sets that side's scaling curve for the tenor's own window (previous expiry → this expiry; the mark scale stays 1), and later tenors inherit the scaled earlier windows.
Carry and Roll-Down Monitor
Calendar spread between two tenors, held to the near expiry (when it becomes an outright far TRF); curves unchanged. Carry, roll-down and DV01 on the TRF mids; Forward Funding on the Term Funding mids (carry model). Annualized on Act/360.
| To near expiry2026-12-18 · 131 days | AnnualizedAct/360 | |
|---|---|---|
| Carry (EUR) | +79,146 | +217,500 |
| Roll-down (EUR) | +28,484 | +78,276 |
| Carry + roll-down (EUR) | +107,630 | +295,776 |
| Forward Funding (bp) | 48.26 | |
| Forward Funding DV01 (EUR / bp) | -10,320 | |
| Delta (EUR per +1% spot) | -4,986 | |
| IR DV01 (EUR per +1bp €STR) | -40 | |
| Leg | Position | TRF mid (bp) | At near expiry (bp) | Carry (EUR) | Roll-down (EUR) | Carry, ann. (EUR) | Roll-down, ann. (EUR) | Delta, +1% (EUR) | IR DV01 (EUR) |
|---|---|---|---|---|---|---|---|---|---|
| Dec26 | Long | 62.50 | expires | -227,431 | 0 | -625,000 | 0 | +1,001,668 | +3 |
| Dec27 | Short | 84.25 | 81.43 | +306,576 | +28,484 | +842,500 | +78,276 | -1,006,654 | -43 |
| Total | +79,146 | +28,484 | +217,500 | +78,276 | -4,986 | -40 |