91.65.. 15-July-07 93.59 How many futures contracts should the firm go long?

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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9

Answer questions 1, 2, 3, and 4
based on the following information.
On January 15, 2007 (today = time
0), a firm is worried that the interest
rate may decline in the next six
months, when it will receive the
payment from the sale of a piece of
equipment. In particular, the firm
will receive on July 15, 2007 a $200
million receivable that needs to be
invested for another six months. The
firm decides to go long on 90-day
Eurodollar futures contracts
(contract size is $1M). The quoted
futures price on this day is $91.72.
Over the life of the contract the
prices move as given below. 15-Jan-
07 91.72 16-Jan-07 91.88 17-Jan-07
91.65.. 15-July-07 93.59 How many
futures contracts should the firm go
long?
Transcribed Image Text:Answer questions 1, 2, 3, and 4 based on the following information. On January 15, 2007 (today = time 0), a firm is worried that the interest rate may decline in the next six months, when it will receive the payment from the sale of a piece of equipment. In particular, the firm will receive on July 15, 2007 a $200 million receivable that needs to be invested for another six months. The firm decides to go long on 90-day Eurodollar futures contracts (contract size is $1M). The quoted futures price on this day is $91.72. Over the life of the contract the prices move as given below. 15-Jan- 07 91.72 16-Jan-07 91.88 17-Jan-07 91.65.. 15-July-07 93.59 How many futures contracts should the firm go long?
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