What is the value of the forward contract

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Six months afo an investor opened a long position on the 12-month forward contract on a non-dividend paying stock index that was then worth 3 000. The same asset is now worth 2 900. Now the term structure of the short interest rates is exactly like indicated by the forward rates six months ago. The 3-month spot rate then 3% p.a., whereas the corresponding spot rates for the maturities of 6, 9 and 12 months were 4%, 5% and 6% (all p.a.), respectively. What is the value of the forward contract for the investor now.

Reference no: EM133070356

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