The current 24 60 forward rate is 4% p.a. s.a.; the current 5-year zero rate is
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Question:
The current 24 × 60 forward rate is 4% p.a. s.a.; the current 5-year zero rate is 6% p.a. s.a. What is the implied 2-year zero rate?
(b) What do the 2-year and 5-year zero rates in (a) imply about the well-being of the economy going forward? Very briefly Explain.
(c) IBM is currently selling at $100/share. The 3-month single stock futures price on IBM is $101.
Assuming that IBM will not pay any dividends during the next 3 months and the company is subject to zero short-selling pressure (stock lending fee is zero), can we say that, based on the the stock is expected to rise by 1% over the next three months?
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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