Estimate the current equilibrium price on the S&P 500 equity index futures contract (SPA) based on the
Question:
Estimate the current equilibrium price on the S\&P 500 equity index futures contract (SPA) based on the Spider S\&P 500 ETF (SPY).
\[f_{0}^{*}=S_{0} e^{\left(R_{f}-\psi\right) T}\]
Bloomberg information you need to access for determining the carrying-cost price:
- \(S_{0}\), Price of the spider, which can be found on Bloomberg's GP screen for the Spider: SPY
- \(\Psi\), Dividend yield = DPS/Price per Share: Dividend yield can be found on the DVD screen.
- To find dividend per share (DPS): Load SPY (SPY
- \(R_{f}\), Risk-free rate: To estimate \(R_{f}\), use a three-month LIBOR, which can be found on Bloomberg GP screen for USooo3M or six-month LIBOR, which can be found on Bloomberg GP screen for USooo6M.
- \(T=\) time to delivery as a proportion of a year.
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