Linear Derivatives AssignmentToday is Thursday, April 9, 2020.The SPY (S&P 500 ETF) has a current price of $278. Below is the U.S. Treasury yield curvefrom Treasury.gov; people often use the U.S. Treasury curve as the risk-free interest rate.Date1 Mo2 Mo3 Mo6 Mo1 Yr2 Yr3 Yr5 Yr7 Yr10 Yr20 Yr30 Yr04/01/200.030.070.090.140.160.230.280.370.510.621.041.2704/02/200.090.100.090.150.140.230.290.390.530.631.041.2604/03/200.090.110.100.150.150.230.300.390.520.621.051.2404/06/200.090.130.150.170.200.270.350.440.580.671.081.2704/07/200.100.130.140.200.200.280.360.480.640.751.131.3204/08/200.140.170.220.240.230.270.340.470.650.771.181.3704/09/200.200.270.250.240.250.230.290.410.600.731.151.35Thursday Apr 9, 20201. Today is 04/9/20, and the one-year treasury rate is 0.25% per year (Wow! That is low!)What should be the one-year forward price for SPY if the spot price is $278?

When an individual buys the underlying asset in the future at a price determined today, the price is…

Today is Thursday, April 9, 2020. The SPY (S&P 500 ETF) has a current price of $278. Below is the U.S. Treasury yield curve from Treasury.gov; people often use the U.S. Treasury curve as the risk-free interest rate. Date 04/01/20 04/02/20 04/03/20 04/06/20 04/07/20 04/08/20 04/09/20 1 Mo 0.03 0.09 0.09 0.09 0.10 0.14 0.20 2 Mo 3 Mo 0.07 0.09 0.10 0.09 0.11 0.10 0.13 0.15 0.13 0.14 0.17 0.22 0.27 0.25 6 Mo 0.14 0.15 0.15 0.17 0.20 0.24 0.24 2 Yr 0.16 0.23 0.14 0.23 0.15 0.23 0.20 0.27 0.20 0.28 0.23 0.27 0.25 0.23 1 Yr 3 Yr 0.28 0.29 0.30 0.35 0.36 0.34 0.29 5 Yr 0.37 0.39 0.39 0.44 0.48 0.47 0.41 7 Yr 0.51 0.53 0.52 0.58 0.64 0.65 0.60 10 Yr 20 Yr 0.62 1.04 0.63 1.04 0.62 1.05 0.67 1.08 0.75 1.13 0.77 1.18 0.73 1.15 30 Yr 1.27 1.26 1.24 1.27 1.32 1.37 1.35 Thursday Apr 9, 2020 1. Today is 04/9/20, and the one-year treasury rate is 0.25% per year (Wow! That is low!) What should be the one-year forward price for SPY if the spot price is $278?

Today is Thursday, April 9, 2020. The SPY (S&P 500 ETF) has a current price of $278. Below is the U.S. Treasury yield curve from Treasury.gov; people often use the U.S. Treasury curve as the risk-free interest rate. Date 04/01/20 04/02/20 04/03/20 04/06/20 04/07/20 04/08/20 04/09/20 1 Mo 0.03 0.09 0.09 0.09 0.10 0.14 0.20 2 Mo 3 Mo 0.07 0.09 0.10 0.09 0.11 0.10 0.13 0.15 0.13 0.14 0.17 0.22 0.27 0.25 6 Mo 0.14 0.15 0.15 0.17 0.20 0.24 0.24 2 Yr 0.16 0.23 0.14 0.23 0.15 0.23 0.20 0.27 0.20 0.28 0.23 0.27 0.25 0.23 1 Yr 3 Yr 0.28 0.29 0.30 0.35 0.36 0.34 0.29 5 Yr 0.37 0.39 0.39 0.44 0.48 0.47 0.41 7 Yr 0.51 0.53 0.52 0.58 0.64 0.65 0.60 10 Yr 20 Yr 0.62 1.04 0.63 1.04 0.62 1.05 0.67 1.08 0.75 1.13 0.77 1.18 0.73 1.15 30 Yr 1.27 1.26 1.24 1.27 1.32 1.37 1.35 Thursday Apr 9, 2020 1. Today is 04/9/20, and the one-year treasury rate is 0.25% per year (Wow! That is low!) What should be the one-year forward price for SPY if the spot price is $278?

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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