Input information Given the following data: Assume the date is Monday, September 13, 2021 S&P500 spot...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
Input information Given the following data: Assume the date is Monday, September 13, 2021 S&P500 spot = 4,453.24 [SPX INDEX], the index has a dividend yield of 1.33% (compound continuously) S&P500 December 2021 Futures = 4,455.00 (maturity 12/17/21) [ESZ1 INDEX] S&P500 March 2022 Futures = 4,437.50 (maturity 3/18/22) [ESH2 INDEX] S&P500 June 2022 Futures = 4,430.30 (maturity 6/17/22) [ESM2 INDEX] Output Calculate the implied interest rate for the futures contracts relative to the spot value of the S&P500. Use the continuous time formulation for valuing commodity forwards/futures to calculate your answer. Assume the year has 365 days. Input information Given the following data: Assume the date is Monday, September 13, 2021 S&P500 spot = 4,453.24 [SPX INDEX], the index has a dividend yield of 1.33% (compound continuously) S&P500 December 2021 Futures = 4,455.00 (maturity 12/17/21) [ESZ1 INDEX] S&P500 March 2022 Futures = 4,437.50 (maturity 3/18/22) [ESH2 INDEX] S&P500 June 2022 Futures = 4,430.30 (maturity 6/17/22) [ESM2 INDEX] Output Calculate the implied interest rate for the futures contracts relative to the spot value of the S&P500. Use the continuous time formulation for valuing commodity forwards/futures to calculate your answer. Assume the year has 365 days.
Expert Answer:
Answer rating: 100% (QA)
The implied interest rate for the December 2021 contract is 00632 The implied i... View the full answer
Posted Date:
Students also viewed these accounting questions
-
V=5000 vph, PHF=0.85 10% Truck and Bus Recreational vehicle 2% Terrain Type: Level Population factor: 1.0 Lane width=11 ft; Right shoulder lateral clearance = 4.0 ft Ramp density=2.0 ramps/mi ...
-
A particular stock has a dividend yield of 1.7 percent. Last year, the stock price fell from $65 to $59. What was the return for the year?
-
A particular stock has a dividend yield of 1.2 percent. Last year, the stock price fell from $65 to $59. What was the return for the year?
-
You are the manager of Fun World, a small amusement park. The accompanying diagram shows the demand curve of a typical customer at Fun World. a. Suppose that the price of each ride is $5. At that...
-
VanBrush Enterprises, a painting contractor, prepared the following adjusting entries at year-end: Required: 1. Show the effect of these adjustments on (1) Assets, liabilities, and equity (2)...
-
A transformer on a pole near a factory steps the voltage down from 3 600 V (rms) to 120 V (rms). The transformer is to deliver 1 000 kW to the factory at 90% efficiency. Find (a) The power delivered...
-
In an article, Scott Wolla of the Federal Reserve Bank of St. Louis writes that potential GDP doesnt mean that the the entire working-age population is working 18 hours per day or that factories are...
-
On January 1, 2015, Universe of Fun issues $900,000, 8% bonds that mature in 10 years. The market interest rate for bonds of similar risk and maturity is 9%, and the bonds issue for $841,464....
-
(a) NP and Co. has imported goods for US $ 7,00,000. The amount is payable after three months. The company has also exported goods for US $ 4,50,000 and this amount is receivable in two months. For...
-
Jim wants to buy a new motorcycle but he isn't sure he can afford it. He salary is $6,000 per month, gross, which is great for someone who just graduated from college. His monthly paycheck...
-
4 2. Norris Decorators manufactures special order window coverings. During May, Norris's transactions included the following: Work in process inventory, May 1 Factory equipment depreciation exp. Work...
-
What are the disadvantages of circular linked list?
-
How do you search for a target key in a linked list?
-
What are different operations we can perform on queues?
-
How many different pointers are necessary to implement a singly linear linked list?
-
What is a priority queue?
-
Based on your analysis in questions one through three, evaluate whether the 22 percent stock price drop was a reasonable response to the news about valuation fundamentals in Intel's earnings warning....
-
Assume a simple Keynesian depression economy with a multiplier of 4 and an initial equilibrium income of $3,000. Saving and investment equal $400, and assume full employment income is $4,000. a. What...
-
What is the difference between \(O M R\) and \(O C R\) ?
-
Now look at Fowler's work on design pattems. Look at the organizational pattern created by Fowler as a way to document the structure of a solution so that its use by others is optimized. and at the...
-
Meet with the person you interviewed in mini case 1 and present them with the design prototype you created. Get their feedback on the design. Do they like it? Could they navigate the pages? What...
Study smarter with the SolutionInn App