(mark-to-market) You enter a long position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are is=2.6% and iç=5.5%. The current spot rate is $1.38/€. Assume 360 days a year. If the spot rate is $1.36/€ the next day and interest rates remain the same, your profit or loss for this day is $____________________(Keep the sign and two decimal places.)

(mark-to-market) You enter a long position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are is=2.6% and iç=5.5%. The current spot rate is $1.38/€. Assume 360 days a year. If the spot rate is $1.36/€ the next day and interest rates remain the same, your profit or loss for this day is $____________________(Keep the sign and two decimal places.)

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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The 1-year forward price of copper is $ 1/lb. The 1-year continuously compounded interest rate is 6%. One-year option prices for copper are shown in the table below. Strike Call| Put 0.95 0.0649 0.0178 0.975 0.05 0.0265 1 0.0376 0.0376 1.025 0.02740.0509 1.034 0.02430.0563 1.05 0.0194 0.0665| Suppose CDE mines copper, with fixed costs of $ 0.50/lb and variable cost of $ 0.40/lb. If CDE does nothing to manage copper risk: What is its profit 1 year from now, per pound of copper, if the copper price in 1 year is $ 0.80 $ ? What is its profit 1 year from now, per pound of copper, if the copper price in 1 year is $ 0.90 $ ? What is its profit 1 year from now, per pound of copper, if the copper price in 1 year is $ 1.00 $ What is its profit 1 year from now, per pound of copper, if the copper price in 1 year is $ 1.10 $ ? What is its profit 1 year from now, per pound of copper, if the copper price in 1 year is $ 1.20 $ ? If on the other hand CDE sells forward its expected copper production:…
Assume today's settlement price on a CME EUR futures contract is $1.3154 per euro. You have a short position in one contract. EUR125,000 is the contract size of one EUR contract. Your performance bond account currently has a balance of $2,400. The next three days' settlement prices are $1.3140, $1.3147, $1.3063. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day. Required: Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Balance of the performance bond account
Give typing answer with explanation and conclusion You entered into a plain vanilla swap a while back where you pay 10% per annum with quarterly compounding on a notional principal of $100,000,000 with payments made quarterly. In exchange, you receive a payment of LIBOR. Your swap has 0.7 years left until its termination date. The LIBOR rate was 14.5% per annum with quarterly compounding when you made your last payment. If today’s discount rates are per annum with continuous compounding as followed what is the value of your position? Years Rate 0.2 7.25% 0.45 7.30% 0.7 7.35%
The 3-month March 2024 dollar interest rate futures contract on the dollar is currently priced at 96.00. The contract has a nominal value of 1 million dollars. a.)What 3-month dollar interest rate in March 2024 will give a break-even position for the buyer of the contract? b.) What is the profit or loss for the seller of the contract if the 3 month dollar interest rate in March is 3%?
Give typing answer with explanation and conclusion
The contract size for platinum futures is 50 troy ounces. Suppose you need 450 troy ounces of platinum and the current futures price is $820 per ounce. How many contracts do you need to purchase? How much will you pay for your platinum? What is your dollar profit if platinum sells for $870 a troy ounce when the futures contract expires? What if the price is $770 at expiration?
A one year gold futures contract is selling for $1,754. Spot gold prices are $1,600 and the one-year risk free rate is 3.4%. The arbitrage profit per contract implied by these prices is____________
A plain vanilla 2-year interest rate swap with annual payments has a notional principal of $1 million. 4 month(s) into the swap, the term structure of interest rates is flat at 4.87%. The first floating-rate payment has already been set to 4.60%. The fixed payments are 4.99%. What is the value of this swap? Round to the nearest dollar.
Your company needs £500,000 per month. You choose to hedge half of the required amount by entering into a futures contract at $1.148/E. How much did you save by hedging if the spot price today is $1.195/£?
Assume oat forward prices over the next 3 years are $2.30, $2.40, and $2.33, respectively. Effective annual interest rates over the same period are 5.5%, 5.8%, and 6.1%. What is the 3-year swap price if the delivery in year 1 is 100,000 bushels, the delivery in year 2 is 125,000 bushels and the delivery in year 3 is 175,000 bushels?
If the spot price for silver is $18.56 per ounce, what should the futures contract price be for a three-month contract at an annual interest rate of 3.5%?
One year T-bills yield 2.50%. Based on futures rates, the market expects that one year from now, new one year t-bill will yield 2.75%. Based on the Pure Expectations theory, what is the yield of a 2-year treasury note?

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