Question: Question 3: (Maximum 2 pages) You are making markets in derivatives for a specific asset which is trading for $200 in the spot market at

Question 3:

(Maximum 2 pages) You are making markets in derivatives for a specific asset which is trading for $200 in the spot market at this time. Today is January 2, 2023 and the Canadian term structure of money-market interest rates is provided below. These rates are expressed in decimals

Term Ending date Rate

0x6 2023-07-11 0.005

0x12 2024-01-13 0.010

0x18 2024-06-13 0.014

0x24 2025-01-12 0.019

1. (a) At what level should the periodic income in C) be for the contracts fair delivery price to be exactly equal to the spot price of the asset? Please, spell out your calculation process.

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