A 6-month futures contract on British Pounds is available for a price of $1,3946. The size of each contract is GBP 62,500. You need to settle an outstanding payable of GBP 125,000 and you take a position in the contract at a time when the spot rate is $1.44 and 2.5 months remain for th contract to expire. Assume that the short term interest rate is 1.5% p.a. compounded continuously. Keeping this information in view a. You will acquire a long position in 1 futures contract b. You will take a neutral position in the contract at a total value of approximately 11 cents C You will acquire a long position in 1 futures contracts at a forward value of approximately 5 cents d. You will acquire a long position in 2 futures contracts at a total forward value of approximately 11 cents e. You will acquire a long position in 2 futures contracts at a value of 0

A 6-month futures contract on British Pounds is available for a price of $1,3946. The size of each contract is GBP 62,500. You need to settle an outstanding payable of GBP 125,000 and you take a position in the contract at a time when the spot rate is $1.44 and 2.5 months remain for th contract to expire. Assume that the short term interest rate is 1.5% p.a. compounded continuously. Keeping this information in view a. You will acquire a long position in 1 futures contract b. You will take a neutral position in the contract at a total value of approximately 11 cents C You will acquire a long position in 1 futures contracts at a forward value of approximately 5 cents d. You will acquire a long position in 2 futures contracts at a total forward value of approximately 11 cents e. You will acquire a long position in 2 futures contracts at a value of 0

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Assume today's settlement price on a CME EUR futures contract is $1.3154 per euro. You have a short position in one contract. EUR125,000 is the contract size of one EUR contract. Your performance bond account currently has a balance of $2,400. The next three days' settlement prices are $1.3140, $1.3147, $1.3063. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day. Required: Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Balance of the performance bond account
Assume today's settlement price on a CME EUR futures contract is $1.3140 per euro. You have a long position in one contract. EUR125,000 is the contract size of one EUR contract. Your performance bond account currently has a balance of $1,700. The next three days' settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day. Required: Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Balance of the performance bond account
(mark-to-market) You enter a short position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are i$=5.9% and iç-6.1%. The current spot rate is $1.38/€. Assume 360 days a year. If the spot rate is $1.37% € the next day and interest rates remain the same, your profit or loss for this day is $___________ __.(Keep the sign and two decimal places.)
You Answered Correct Answer (mark-to-market) You enter a short position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are i$=5.9% and ic=6.1%. The current spot rate is $1.38/€. Assume 360 days a year. If the spot rate is $1.37/€ the next day and interest rates remain the same, your profit or loss for this day is $ ___. (Keep the sign and two decimal places.) 1,250 1,248.46 margin of error +/-0.05
(mark-to-market) You enter a long position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are is=4.5% and ie=5.3%. The current spot rate is $1.38/€. Assume 360 days a year. If the spot rate is $1.43/€ the next day and interest rates remain the same, your profit or loss for this day is $ __(Keep the sign and two decimal places.)
Currently the short term (1 to 12 month) borrowing rate is 3.50% per year and the lending rate over the same period is 0.50% per year. Which of the following implied repo rate per year for a six month futures contract will allow you an arbitrage opportunity? Assume no other transaction cost. O 3.25% O 0.25% O 3.00% O 2.75% O All of these 277
The 9-month LIBOR rate is 5%, and the 6-month LIBOR rate is 4%, on the basis of continuous compounding and 365 days a year. The 3-month Eurodollar futures price quote for a contract with a delivery date in 6 months should be: a. 93.0000 b. 92.9384 c. 93.0351
Assume today's settlement price on a CME EUR futures contract is $1.1140/EUR. You have a short position in one contract with a standard contract size of 125,000€. Your performance bond account currently has a balance of $2,000. The next three days' settlement prices are $1.1126, $1.1133, and $1.1050. Calculate the balance of the performance bond account after the third day.
A Euro futures contract expires in 61 days. The interest rates are i$=5.0% and i€=2.1% respectively. The current spot rate is $1.10/€. Assume 360 days a year. The the futures's price is $ __/€(Keep four decimal in your answer.)
Suppose that a commodity’s respective forward prices for 1 year and 2 years are $150 and $158. The 1-year effective annual interest rate is 5.9%, and the 2-year interest rate is 6.6%. You will pay a fixed rate of $153.85906 in a 2-year swap and receive the floating rate. At the time you enter the swap contract, its value to you is... A.$0.0084 B.$–0.0084 C.$0.0051 D.. $–0.0051 E.$000000
A Euro futures contract expires in 66 days. The interest rates are i$=6.1% and i€=1.1% respectively. The current spot rate is $1.02/€. Assume 360 days a year. Then the futures's price is $_________/ϵ (Keep four decimal places.)
You are to pay €360,000 on May 16. Today’s spot rate is $1.10/€. The forward rate is $1.12/€. On May 16 the spot rate is $1.11/€. Futures contracts are for €125,000 each. Q1. How many contracts do you enter? Q2. Do you enter contracts to buy or to sell? On May 16 you, 1) close out the forward contracts, and 2) receive the €360,000 and exchange them for dollars. Q3. Did you make or lose money on the contracts? Q4. How much money did you make or lose on the contracts? Q5. When you combine the gain or loss on the futures contracts with the dollars exchanged for the €360,000 what was the effective dollar/euro total exchange rate? Q6. Why was the amount you received per euro more than the $1.12 future contract hedge amount?

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