You hold a well diversified parcel of shares and wish to sell the portfolio in exactly 5
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Question:
You hold a well diversified parcel of shares and wish to sell the portfolio in exactly 5 months time. To protect the value of your portfolio you decide to sell SFE SPI 200 Equity Index Futures contracts. Given the futures price formula below and the data in the box on the right, calculate the futures price. Give your answers in dollars and cents to the nearest cent.
Spot value of your parcel of shares = $2,000
Dividends expected in exactly 5 months = $400
Risk free rate for next 5 months = 2.75% pa
F = [S - PV(D)] (1 + rt)
Futures price = ___ $
Related Book For
Principles of Taxation for Business and Investment Planning 2016 Edition
ISBN: 9781259549250
19th edition
Authors: Sally Jones, Shelley Rhoades Catanach
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