Cash flow from the mark-to-market proceeds on contract

Assignment Help Financial Management

Reference no: EM131911824

The multiplier for a futures contract on the stock-market index is $250. The maturity of the contract is one year, the current level of the index is 800, and the risk-free interest rate is 0.6% per month. The dividend yield on the index is 0.3% per month. Suppose that after one month, the stock index is at 815.

a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Cash flow $

b. Find the one-month holding-period return if the initial margin on the contract is $20,000. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Holding-period return %

Reference no: EM131911824

Questions Cloud

How many cases should be ordered at a time : What is the effect on EOQ and total cost of the following types of changes for the data in problem 1? a. A 40 percent increase in demand.

What must expected return on market : What must the expected return on the market be?

Contribution income and traditional income statement : What is the difference between a contribution income statement and a traditional income statement? Under what circumstances would a firm use each?

Calculate a suitable power rating of the wind generator : ENG733S2 Smart Grid Fundamentals Coursework Assignment. Calculate a suitable power rating of the wind generator. Provide a charge/discharge schedule for battary

Cash flow from the mark-to-market proceeds on contract : Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly

How many lots will be produced each year : The famous Widget Company sells widgets at the rate of 80,000 units per year. Each widget sells for $100, and it costs 30 percent to carry widgets in inventory.

Net present worth from investing in stock : What is the variance and standard deviation of the net present worth from investing in the stock?

Appropriate price for futures using parity relationship : Calculate the appropriate price for December futures using the parity relationship?

How many sweatshirts should the co-op order at one time : The Harvard Co-op orders sweatshirts with the Harvard University emblem on them and sells them for $50 each. During a typical month, 900 sweatshirts are sold.

User Account

All Pages