Derivative Questions

dont use excel, using formual Fo = Soe^((r - rf)(T)

place dollar signs on answers when appropriate and round to two decimal places.

1. The spot price of silver is currently $30 per ounce. Storage costs on silver are $0.48 per quarter, payable quarterly in advance. The risk free rate is 10% per annum with a flat yield curve. We want a 9 month futures contract on silver. The correct future price for this contract would be

2. The current spot price of oil is $80 per barrel. Storage costs for oil are $3 per barrel per year, payable in arrears. The risk free rate is 5% per annum. What is the correct price for a one year futures contract on oil? The correct futures price is

3. You buy a futures contract on a commodity with futures price today at $100. The contract will expire in 45 days. The risk free rate is 10% with a flat yield curve. 20 days later, the spot price of the commodity is now $102. Based on these numbers, calculate the new price of the futures contract on the commodity (use x/365 for time in your calculations). The new futures price would be

4. Using the same data in Problem 3 and your computed futures price from Problem 3, compute the contract value (use x/365 for time in your calculations). The value of the futures contract would be

5.You buy a one year futures contract on a commodity for $45. The risk free rate is 10% per annum. Six months later the spot price of the commodity is $52 with the same risk free rate. Find the new futures price of the commodity contract. The new futures price of the commodity contract would be

6. Using the new futures price computed in Problem 5, and the same data in that problem, compute the value of the futures contract. The correct futures contract value is

7. The current spot price of oil is $52 per barrel. The risk free rate is 6% per annum. Storage costs are $2.20 per barrel per year, payable in arrears. Compute the correct futures price for a 90 day contract (use x/365 for time in the problem). The correct futures price is

8. You buy a one year futures contract on a commodity today for $48. The risk free rate is 8% per annum. Six months later, the same contract is priced at $50. If the risk free rate is still 8%, what is the value of the futures contract? The correct futures contract value is