What is the interest rate that the investor locked

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Reference no: EM13242755

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The 12-month, 15-month, 18-month zero rates are 4.5%, 4.6%, 4.7% with continuous compounding. What is the value of an FRA that enables the holder to earn 5.6% (with semiannual compounding) for a 3-month period starting in 1 year on a principal of $1,000,000?

A 2-year long forward contract on a non-dividend-paying stock is entered into when the stock price is $139 and the risk-free interest rate is 10.3% per annum with continuous compounding. 1 year later, the price of the stock is $146 and the risk-free rate is 9%. What is the value of the forward contract?

A stock is expected to pay a dividend of $2.40 per share in 1 months and in 4 months. The stock price is $56, and the risk-free interest rate is 7% per annum with continuous compounding for all maturities. An investor has just taken a long position in a 5-month forward contract on the stock. What is the forward price?

Currently, the beta of a stock fund is 1.2. Suppose the fund manager wants to reduce the beta of this portfolio. Which is an effective way to achieve such goal?
Short stock index futures
Long stock index futures
Buy more stocks
Short Eurodollar futures
On July 1, an investor holds 50,000 shares of a certain stock. The market price is $29 per share. The investor is interested in hedging against movements in the market over the next month and decides to use the September Mini S&P 500 futures contract. The index futures price is 1,881 and one contract is for delivery of $50 times the index. The beta of the stock is 1.3. How many futures contract does he have to purchase? If it's a short position, report a negative number.

If an investor who owns a stock wants to earn premium from writing a covered call but wants to hedge against stock price drop, which strategy should he use?
Writing a naked put
Writing a naked call
Protective put
Collar
Suppose the dividend yield on market index is 2% per annum and the risk-free rate is 8% per annum. The beta of your stock portfolio is 1.3. Assume the index level changes by 16% in 4 months. Calculate the expected return on your portfolio in 4 months.
On January 8, 2016, a bank wants to lock in the 3-month interest rate starting on June 20, 2017. The investor buys June2017 Eurodollar futures contracts at 98.36. What is the interest rate that the investor locked in? (margin of error: +/- 0.01%)

Reference no: EM13242755

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What is the interest rate that the investor locked : On January 8, 2016, a bank wants to lock in the 3-month interest rate starting on June 20, 2017. The investor buys June2017 Eurodollar futures contracts at 98.36. What is the interest rate that the investor locked in? (margin of error: +/- 0.01%)

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