Quantitative Finance

Exercise 3 (2 marks total. I mark for (t, T) column, I mark for MTM and interest columns). Assume the continuously compounded interest rate has constant value 15%. The table below is for a futures contract maturing on day 5 with delivery price equal to the futures price. The underlying asset is a stock paying no income. The St column gives the stock price on each day. The (t, T) column gives the futures price on each day. The MTM column lists the mark-to-market payments. The interest column lists the interest that will be accrued on the mark-to-market payment by the maturity date. Fill in the table. Give at least four decimal places. dayS, (t, T) MTM interest 0 2000 1 1900 2 2100 3 2200 4 2000 5 2100 Sum. Hint: Use a spreadsheet for the calculations