Find the cash flow from the mark-to-market proceeds on the


The multiplier for a futures contract on a stock market index is $250. The maturity of the contract is 1 year, the current level of the index is 1,280, and the risk-free interest rate is 0.8% per month. The dividend yield on the index is 0.3% per month. Suppose that after 1 month, the stock index is at 1,315.

a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "$" sign in your response.)

Cash flow $   

b. Find the holding-period return if the initial margin on the contract is $12,800. (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Holding period return %

Request for Solution File

Ask an Expert for Answer!!
Financial Management: Find the cash flow from the mark-to-market proceeds on the
Reference No:- TGS02855694

Expected delivery within 24 Hours