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 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.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter24: Enterprise Risk Management

Section: Chapter Questions

Problem 2P: A Treasury bond futures contract has a settlement price of 89’08. What is the implied annual yield?

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a. A futures contract on a non-dividend-paying stock index with current value $130 has a maturity of one year. If the T-bill rate is 6%, what should the futures price be? b. What should the futures price be if the maturity of the contract is 2 years? c. What if the interest rate is 9% and the maturity of the contract is 2 years? Complete this question by entering your answers in the tabs below. Required A Required B Required C A futures contract on a non-dividend-paying stock index with current value $130 has a maturity of one year. If the T-bill rate is 6%, what should the futures price be? Note: Round your answer to 2 decimal places. Futures price
Complete the table above for the holder of the short position. Day Beginning Balance Funds Deposited Settlement Price Futures Price Change Gain/Loss Ending Balance 0 0 5000 1 4960 2 4800 3 5050 4 5175 5 5200 6 5250.50 7 5310.75 2. How much are the total gains or losses by the end of day 7?
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4. Assume today's settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days' settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day. By assuming that you have a long position in the futures contract, solve this question again.
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