From Schweser 2015 notes on Forward Contracts AR#47 page 17-18 on dividend paying equity forward contract, if i extend the example to calculate the value of the foward to the long party at contract expiration (i.e. 100th day); am I right to say that the sport price at maturity i.e. S100 need to subract off the dividends that wil be due 75 days from contract expiration (i.e. on the 175th day)
In other words,
Value to long at expiration = (S100 - PVD100) - FP where PVD100 is 0.4/(1.05)^(75/365)
I don’t believe so: with an equity forward (unless it’s on a total return index), you only subtract dividends paid between on ex-dividend dates (assuming discrete math) between today and expiration. So, if today actually is expiration, the value is the market price of the stock, less the $0 present value of dividends, less the forward contract price, (which is technically discounted by the risk-free rate, but since there’s no time left, the present value is the future value). i.e., Value = S100 - FP
