Calculate the fair price-value

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Question - Calculate the fair price/value in US Dollar of the following contracts, given a financing rate in Dollars of 2%:

a) A nine-month equity index futures contract given a current index level of 3,000 and a continuously compounded annual dividend yield of 1%.

b) A six-month foreign exchange futures contract for Japanese Yens given a spot exchange rate of JPY 122/US$ and a continuously compounded annual risk-free rate of .5% in Yens.

c) A three-month U.S. Treasury bond futures contract given a cash market price for the cheapest-to-deliver (CTD) bond of 95.25. The CTD bond has a coupon rate of 4.0% paid semi-annually, accrued interest today of $.5 per $100 of face, and a delivery factor of 0.90.

Reference no: EM132865106

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