Suppose the index in the previous example has a value of 998 after 90 days. What is the value of a long position in the index forward contract, assuming a 5.23% continuously compounded risk-free rate and a 2.167% continuously compounded dividend yield? a) –Php87.629109 b) Php87.629109 c) Php93.414429 d) –Php93.414429 32. What is the price of a 1 x 4 FRA when the current 30-day LIBOR is 5.15% and the 100-day LIBOR is 5.85%? a) 6.124% b) 1.625% c) 0.23% d) 6.052% 33. Continuing with the previous problem for a 1 x 4 FRA, assume a notional principal of Php2 million and that the 70-day rate has climbed to 6.5%, which is higher than the contract rate determined in the previous problem. What is the value of FRA at maturity? a) Php1,462.2222 b) Php1,443.97202 c) Php49,093.333 d) Php48,480.5925
Suppose the index in the previous example has a value of 998 after 90 days. What is the value of a long position in the index forward contract, assuming a 5.23% continuously compounded risk-free rate and a 2.167% continuously compounded dividend yield? a) –Php87.629109 b) Php87.629109 c) Php93.414429 d) –Php93.414429 32. What is the price of a 1 x 4 FRA when the current 30-day LIBOR is 5.15% and the 100-day LIBOR is 5.85%? a) 6.124% b) 1.625% c) 0.23% d) 6.052% 33. Continuing with the previous problem for a 1 x 4 FRA, assume a notional principal of Php2 million and that the 70-day rate has climbed to 6.5%, which is higher than the contract rate determined in the previous problem. What is the value of FRA at maturity? a) Php1,462.2222 b) Php1,443.97202 c) Php49,093.333 d) Php48,480.5925
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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31. Suppose the index in the previous example has a value of 998 after 90 days. What is the value of a long position in the index forward contract, assuming a 5.23% continuously compounded risk-free rate and a 2.167% continuously compounded dividend yield?
a) –Php87.629109
b) Php87.629109
c) Php93.414429
d) –Php93.414429
32. What is the price of a 1 x 4 FRA when the current 30-day LIBOR is 5.15% and the 100-day LIBOR is 5.85%?
a) 6.124%
b) 1.625%
c) 0.23%
d) 6.052%
33. Continuing with the previous problem for a 1 x 4 FRA, assume a notional principal of Php2 million and that the 70-day rate has climbed to 6.5%, which is higher than the contract rate determined in the previous problem. What is the value of FRA at maturity?
a) Php1,462.2222
b) Php1,443.97202
c) Php49,093.333
d) Php48,480.5925
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