Today is Thursday, April 9, 2020. The SPY (S&P 500 ETF) has a current price of $278. Below is the U.S. Treasury yield curve from Treasury.gov; people often use the U.S. Treasury curve as the risk-free interest rate. Date 04/01/20 04/02/20 04/03/20 04/06/20 04/07/20 04/08/20 04/09/20 1 Mo 0.03 0.09 0.09 0.09 0.10 0.14 0.20 2 Mo 3 Mo 0.07 0.09 0.10 0.09 0.11 0.10 0.13 0.15 0.13 0.14 0.17 0.22 0.27 0.25 6 Mo 0.14 0.15 0.15 0.17 0.20 0.24 0.24 2 Yr 0.16 0.23 0.14 0.23 0.15 0.23 0.20 0.27 0.20 0.28 0.23 0.27 0.25 0.23 1 Yr 3 Yr 0.28 0.29 0.30 0.35 0.36 0.34 0.29 5 Yr 0.37 0.39 0.39 0.44 0.48 0.47 0.41 7 Yr 0.51 0.53 0.52 0.58 0.64 0.65 0.60 10 Yr 20 Yr 0.62 1.04 0.63 1.04 0.62 1.05 0.67 1.08 0.75 1.13 0.77 1.18 0.73 1.15 30 Yr 1.27 1.26 1.24 1.27 1.32 1.37 1.35 Thursday Apr 9, 2020 1. Today is 04/9/20, and the one-year treasury rate is 0.25% per year (Wow! That is low!) What should be the one-year forward price for SPY if the spot price is $278?
Today is Thursday, April 9, 2020. The SPY (S&P 500 ETF) has a current price of $278. Below is the U.S. Treasury yield curve from Treasury.gov; people often use the U.S. Treasury curve as the risk-free interest rate. Date 04/01/20 04/02/20 04/03/20 04/06/20 04/07/20 04/08/20 04/09/20 1 Mo 0.03 0.09 0.09 0.09 0.10 0.14 0.20 2 Mo 3 Mo 0.07 0.09 0.10 0.09 0.11 0.10 0.13 0.15 0.13 0.14 0.17 0.22 0.27 0.25 6 Mo 0.14 0.15 0.15 0.17 0.20 0.24 0.24 2 Yr 0.16 0.23 0.14 0.23 0.15 0.23 0.20 0.27 0.20 0.28 0.23 0.27 0.25 0.23 1 Yr 3 Yr 0.28 0.29 0.30 0.35 0.36 0.34 0.29 5 Yr 0.37 0.39 0.39 0.44 0.48 0.47 0.41 7 Yr 0.51 0.53 0.52 0.58 0.64 0.65 0.60 10 Yr 20 Yr 0.62 1.04 0.63 1.04 0.62 1.05 0.67 1.08 0.75 1.13 0.77 1.18 0.73 1.15 30 Yr 1.27 1.26 1.24 1.27 1.32 1.37 1.35 Thursday Apr 9, 2020 1. Today is 04/9/20, and the one-year treasury rate is 0.25% per year (Wow! That is low!) What should be the one-year forward price for SPY if the spot price is $278?
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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Monetary Policy and Interest Rate
Monetary policy refers to the policy which is enforced by the central bank of the country to control the money supply and economic development of the country. The main aim of monetary policy is to manage inflation, consumption, and growth of the economy. The central bank influences interest rates to manage the money supply. In monetary policy, the central bank may revise the interest rate to increase and decrease the flow of money.
Development of the US Monetary System
The monetary system of a country refers to the system in which a government provides money in the economy of the country. In the modern-day monetary system, usually it contains the National Treasury, the mint where the notes are being printed. The Central bank and the commercial banks regulate the money supply in the economy of a country.
Question
Transcribed Image Text:Linear Derivatives Assignment
Today is Thursday, April 9, 2020.
The SPY (S&P 500 ETF) has a current price of $278. Below is the U.S. Treasury yield curve
from Treasury.gov; people often use the U.S. Treasury curve as the risk-free interest rate.
Date
1 Mo
2 Mo
3 Mo
6 Mo
1 Yr
2 Yr
3 Yr
5 Yr
7 Yr
10 Yr
20 Yr
30 Yr
04/01/20
0.03
0.07
0.09
0.14
0.16
0.23
0.28
0.37
0.51
0.62
1.04
1.27
04/02/20
0.09
0.10
0.09
0.15
0.14
0.23
0.29
0.39
0.53
0.63
1.04
1.26
04/03/20
0.09
0.11
0.10
0.15
0.15
0.23
0.30
0.39
0.52
0.62
1.05
1.24
04/06/20
0.09
0.13
0.15
0.17
0.20
0.27
0.35
0.44
0.58
0.67
1.08
1.27
04/07/20
0.10
0.13
0.14
0.20
0.20
0.28
0.36
0.48
0.64
0.75
1.13
1.32
04/08/20
0.14
0.17
0.22
0.24
0.23
0.27
0.34
0.47
0.65
0.77
1.18
1.37
04/09/20
0.20
0.27
0.25
0.24
0.25
0.23
0.29
0.41
0.60
0.73
1.15
1.35
Thursday Apr 9, 2020
1. Today is 04/9/20, and the one-year treasury rate is 0.25% per year (Wow! That is low!)
What should be the one-year forward price for SPY if the spot price is $278?
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