The S&P 500 cash price is 2,700, the interest rate or 'risk-free' rate is 2.0% and...
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The S&P 500 cash price is 2,700, the interest rate or 'risk-free' rate is 2.0% and the dividend yield on the S&P 500 index is 2.50% presently. What are the expected prices and bases of the 6, 9 and 12 month S&P 500 financial futures contract? b. The current or 'front-month' Aluminium futures contract is trading at $2,150 per tonne. Given the interest rate or 'risk-free' rate is 2% and the net convenience yield is -3% presently calculate the expected prices and bases of the 8, 12 and 18 month Aluminium futures contract? c. Define Net Convenience Yield d. Define Backwardation The S&P 500 cash price is 2,700, the interest rate or 'risk-free' rate is 2.0% and the dividend yield on the S&P 500 index is 2.50% presently. What are the expected prices and bases of the 6, 9 and 12 month S&P 500 financial futures contract? b. The current or 'front-month' Aluminium futures contract is trading at $2,150 per tonne. Given the interest rate or 'risk-free' rate is 2% and the net convenience yield is -3% presently calculate the expected prices and bases of the 8, 12 and 18 month Aluminium futures contract? c. Define Net Convenience Yield d. Define Backwardation
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a To calculate the expected prices and bases of the SP 500 financial futures contract we need to consider the cost of carry model which incorporates t... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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