1.Suppose that a market index currently is 92.57. The futures contract has an index multiplier of $100. Suppose that the dividend yield on the index portfolio is 3.87% per year, and the risk-free rate is 4.64% per year; both rates are continuously compounded. The index futures contract that expires in 5 months has a futures price of 102.76. What is the total net profit if you execute the arbitrage strategy with one futures contract?
2.Suppose that a market index currently is 94.93. The futures contract has an index multiplier of $100. Suppose that the dividend yield on the index portfolio is 2.75% per year, and the risk-free rate is 1.27% per year; both rates are continuously compounded. The index futures contract that expires in 5 months has a futures price of 80.66. What is the total net profit if you execute the arbitrage strategy with one futures contract?
Do not round values at intermediate steps in your calculations. Enter your answer in dollars and cents to two decimal places, but omit the $ symbol and commas. For example, enter $1,234.56 as 1234.56 as your answer.
Do not round values at intermediate steps in your calculations. Enter your answer in dollars and cents to two decimal places, but omit the $ symbol and commas. For example, enter $1,234.56 as 1234.56 as your answer.
3. The spot price for the Euro is $1.1114 per Euro. The three-month forward price is $1.2402 per Euro. The U.S. dollar LIBOR for three months is a continously compounded rate of 1.37% per annum. The Euro LIBOR for three months is a continuously compounded rate of 2.59% per annum. What is the total net profit if you execute the arbitrage strategy? Assume that you use a round lot of $100,000, that is, you either borrow or invest $100,000 in executing the strategy.
Do not round values at intermediate steps in your calculations. Enter your answer in dollars and cents to two decimal places, but omit the $ symbol and commas. For example, enter $1,234.56 as 1234.56 as your answer
4. The spot price for the British pound is $1.4162 per pound. The futures price is $1.21 per pound on a contract that expires in four months. The U.S. dollar LIBOR for four months is a continously compounded rate of 2.69% per annum. The British LIBOR for four months is a continuously compounded rate of 3.79% per annum. What is the total net profit if you execute the arbitrage strategy with one futures contract? The contract size is 62,000 British pounds.
Do not round values at intermediate steps in your calculations. Enter your answer in dollars and cents to two decimal places, but omit the $ symbol and commas. For example, enter $1,234.56 as 1234.56 as your answer.