Six months ago an investor opened a long position on the 1 2 - month forward contract
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Question:
Six months ago an investor opened a long position on the month forward contract on a nondividend paying stock index that was then worth The same asset is now worth Now the term structure of the short interest rates is exactly like indicated by the forward rates six months ago. The month spot rate was then pa whereas the corresponding spot rates for the maturities of and months were and all pa respectively. What is the value of the forward contract for the investor now?
Related Book For
ISE Investments
ISBN: 9781260571158
12th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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