Portfolio+homework_9

Problem 1: Hedging market risk using S&P500 index futures Assume you have a portfolio worth currently $5,000,000. Let portfolio beta be ß, = 2. Assume you want to hedge market risk until 3 months from now.' Current value of S&P500 index futures 3 month from now is 3,900.00. You are using mini futures i.e. $50 per point. a) If you want to completely remove market risk without using futures. What would you do? b) If you use S&P500 mini futures, how many futures you would buy to completely hedge your exposure to market risk. c) What would be the value of your new (i.e. hedged) portfolio when S&P500 goes up by 2% 3 months from now? d) What would be the value of your new portfolio when S&P500 declines by 3% 3 months from now. e) What should you do in a) if you want to change the ß of your portfolio approximately to ß = 1? f) What should you do in b) if you want to change the ß of your portfolio approximately to B = 1?

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Suppose the current price for coffee for delivery in December is $1.3890 per pound. Each contract is for 37,500 pounds. Initial margin is $5000 and maintenance margin is 2700 on what day will long side get a margin call if over the next 5 days the futures price evolves as follows   Day       Futures Price 1.             $1.4110 2.            $1.4290 3.            $1.3800 4.            $1.3165 5.            $1.3175

Fast pls solve this question correctly in 5 min pls I will give u like for sure Surbh

k ces Suppose you want to hedge a $430 million bond portfolio with a duration of 8.8 years using 10-year Treasury note futures with a duration of 6.7 years, a futures price of 107, and 97 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.) Number of contracts

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Suppose the S&P 500 index futures price is currently 950 and the initial margin is 10%. You wish to enter into 10 S&P 500 futures contracts. a. What is the notional value of your position? What is the margin? b. Suppose you earn a continuously compounded rate of 6% on your margin balance, your position is marked to market weekly, and the maintenance margin is 80% of the initial margin. What is the greatest S&P 500 index futures price 1 week from today at which you will receive a margin call?

Suppose an investor takes a long position in 1 Gold futures contract, and the following information is given: Contract size = 100 ounces. Futures price = $500 Initial margin = $3,000 per contract. Maintenance margin = $2,000 per contract   Date Jan. 1 Jan. 2 Jan. 3 Jan. 4 Jan. 5 Jan. 6 Jan. 7 Jan. 8 Future prices 494 495 488 490 491 474 475 474   i) In which days will there be a margin call? How much will be the variation margin in all cases? ii) In which days do the balances in the margin account exceed the initial margin? B) Party A agrees to pay Party B a fixed rate of 4%. Party B agrees to pay Party A a floating rate based on the return of the S&P 500 Index. The payments will be made annually and will be based on a notional principal of $1,000,000. i) Suppose at the end of the first year, the S&P 500 appreciated by 4.5%. How much will Party B will pay Party A II) What will happen in the second year, if the S&P 500 depreciated…

Give typing answer with explanation and conclusion  An investor has a $1 million long position in T-bond futures. The investor’s broker requires a maintenance margin of 4.25%. Next day the value of the futures contracts drops by $30,000 to $970,000. By what amount he will receive a margin call? $28,725 $45,000 $30,000 $28,650 NOT ENOUGH DATA TO ANSWER $43,650

Question

uestion Consider three securities that will pay risk-free cash flows over the next three years and that have the current market prices shown here: This question: 10p Security Price Today ($) Cash Flow in Cash Flow in Cash Flow in Two Years ($) Three Years ($) Name One Year ($) B1 $92.42 100 B2 $84.32 100 B3 $382.92 500 Calculate the no-arbitrage price, or the price that eliminates any arbitrage opportunities, of a new security, B4, that pays risk-free cash flows of $500 in one year and $1,000 in three years. The current no-arbitrage price of Security B4 is: (round your answer to two decimal places) O Time tv 9 MacBook Air DD DII F10 F9 F8 888 F7 80 F6 F5 F4 F3 esc F2 F1 & * OC

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Please calculate the price of a put option that matures in 2 months with a strike price of $58. Assume the risk free rate is 3%/month. 50 Month 1 A. 7.29 B.1.07 OC.11.3 OD.O 62.5 45 Month 2 78.125 56.25 40.5

Consider a 6-month futures contract on a financial asset with dividend yield q=3.96% per year. Risk free rate is 10% per year. Current value of an asset is S0=$25. What should be the 6-month futures price on this asset, if there is no convenience yield and storage costs?

What is the expected annual return of this portfolio?

ASAP

Question a     A futures price is currently 40. It is known that at the end of three months the price will be either 35 or 45. What is the value of a three-month European call option on the futures with a strike price of 42 if the risk-free interest rate is 7% per annum? .   Full explain this question and text typing work only     We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line