What is the implied interest rate for the first six months

Reference no: EM133557979

Suppose the spot price of gold is $2000 per ounce. The futures price for delivery in six months is $2058, while the futures price for delivery in one year is $2105. The interest rate on 6-month loans is 5.00 percent (on an annual basis). So is the rate on a one-year loan.
Ignoring transactions costs, does the six-month contract represent an arbitrage opportunity? Why?

What is the implied interest rate for the first six months?

What is the implied forward rate six months hence? (recall computing forward rates from bonds with different maturities)

Suppose the 6 month Futures price is 2045 and the 1 year Futures price is 2100. Assuming there are no restrictions on selling gold short and no loan fees, what are the arbitrage gains, if any?

Reference no: EM133557979

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