3. Problem 14-07 Problem 14-07 Dosley Endowment Fund, which supports the activities of the Dosley Charitable Trust is relatively new and small interms of s our management. The trustees of the endowment have adopted Conservative investment strategy at the current time, all of the 5720 m on in twee wally invested in an so 500 index racing und and US Treasury bonds. Right now, the annual dividend yield on the SAP 500 Index fund is 3.6%, whereas the annual coupon rates for the T-bonds. As the fund manager, you expect th months the market will be very volt. Given that the priority of the trustees is to preserve the value of the endowment Fund, you are required to use various derivative strategies The current level of SP 500 is 1,000, and the price of US T-bonds 100. Assume that the current three mo b ile Do not round intermediate a. Using the derivative information listed below, determine the details of two derivative strategies that could be employed to protect calculations. Round your answers to the nearest whole number Call option ecotiat Future Contract size Expiration Current price Strike CAP 500 Index $45.000 3 months later $23.00 45,000 months later 21.00 235.000 3 months 1,000.00 US Treasury Bonds $125,000 months later 125,000 3 months later 125.000 months weer to Put option Future Alternative and SAP utures and Alternative 2: S b. Applying the put-call party relationship, which derivative strategy should you recommend and why? Do not round intermediate calculations. Round your answers to the nearest cent. Recall that the put and futures prices are as follows: Put Price Call Price - Security Price + Present Value of Exercise Price and Income on the underlying Security Futures Price Underlying Security Price+ (Treasury Bal Income - Income on the underlying Security) Alternative 1: SAP 500 put prices Bond put prices For the SAP 500 the put options appear e d and the Government bond put options appear pared to the prices of the calls Alternative 2: S&P 500 future prices Bond future prices For the SS500 the futures are and the Government bond futures are Se recommended because protections and by 3. Problem 14-07 Problem 14-07 Dosley Endowment Fund, which supports the activities of the Dosley Charitable Trust is relatively new and small interms of s our management. The trustees of the endowment have adopted Conservative investment strategy at the current time, all of the 5720 m on in twee wally invested in an so 500 index racing und and US Treasury bonds. Right now, the annual dividend yield on the SAP 500 Index fund is 3.6%, whereas the annual coupon rates for the T-bonds. As the fund manager, you expect th months the market will be very volt. Given that the priority of the trustees is to preserve the value of the endowment Fund, you are required to use various derivative strategies The current level of SP 500 is 1,000, and the price of US T-bonds 100. Assume that the current three mo b ile Do not round intermediate a. Using the derivative information listed below, determine the details of two derivative strategies that could be employed to protect calculations. Round your answers to the nearest whole number Call option ecotiat Future Contract size Expiration Current price Strike CAP 500 Index $45.000 3 months later $23.00 45,000 months later 21.00 235.000 3 months 1,000.00 US Treasury Bonds $125,000 months later 125,000 3 months later 125.000 months weer to Put option Future Alternative and SAP utures and Alternative 2: S b. Applying the put-call party relationship, which derivative strategy should you recommend and why? Do not round intermediate calculations. Round your answers to the nearest cent. Recall that the put and futures prices are as follows: Put Price Call Price - Security Price + Present Value of Exercise Price and Income on the underlying Security Futures Price Underlying Security Price+ (Treasury Bal Income - Income on the underlying Security) Alternative 1: SAP 500 put prices Bond put prices For the SAP 500 the put options appear e d and the Government bond put options appear pared to the prices of the calls Alternative 2: S&P 500 future prices Bond future prices For the SS500 the futures are and the Government bond futures are Se recommended because protections and by