Question 3. Assume the continuously compounded interest rate has constant value 15%. The table below is for a futures contract maturing on day 5 with delivery price equal to the futures price. The underlying asset is a stock paying no income. The St column gives the stock price on each day. The Φ(t,T) column gives the futures price on each day. The MTM column lists the mark-to-market payments. The interest column lists the interest that will be accrued on the mark-to-market payment by the maturity date. Fill in the table. Give at least four decimal places. day St Φ(t,T) MTM interest 0 2000 1 1900 2 2100 3 2200 4 2000 5 2100 sum: Hint: Use Mathematica or a spreadsheet for the calculations.
Question 3. Assume the continuously
Fill in the table. Give at least four decimal places.
|
day |
St |
Φ(t,T) |
MTM |
interest |
|
0 |
2000 |
|||
|
1 |
1900 |
|||
|
2 |
2100 |
|||
|
3 |
2200 |
|||
|
4 |
2000 |
|||
|
5 |
2100 |
|||
|
sum: |
Hint: Use Mathematica or a spreadsheet for the calculations.
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