The following table shows price quotes of interest rate futures. Then, the corresponding interest rate(yield) is __%. Maturity June 10 Open High 94.99 95.01 Low 94.98 Settle 95.63
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- Suppose we observe the following rates: 1R1= 0.75%, 1R2=1.20%, E(2r1)=0.907%. If the liquidity premium theory of the term structure of interest rates holds, what is the liquidity premium for year 2, L2?The following table shows price quotes of interest rate futures. Then the futures' corresponding maturity (fixed) interest rate is _%. Maturity June 10 Open High 94.99 95.01 Low Settle 94.98 95.47Demonstrate how a Margin Account operates for both the Long and the Short futures position using the following information: The initial margin is R30. The initial Futures price is R100. On Day 1 the price drops to R90. On Day 2 the price rises to R95.
- Suppose the 6-month Mini S&P 500 futures price is 1,345.99, while the cash price is 1,335.81. What is the implied difference between the risk-free interest rate and the dividend yield on the S&P 500? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.) Implied difference %Given the following quotes: FBM KLCI spot = 747 points, risk-free rate = 4.5% annualised, FBM KLCI dividend yield = 1.75% annualised. i) If the 90-day KLCI futures is quoted at 762 points, show that arbitrage is possible ii) Calculate the arbitrage profit if FBM KLCI is 10% higher by futures maturity.Suppose the 6-month Mini S&P 500 futures price is 1,170.78, while the cash price is 1,158.57. What is the implied difference between the risk-free interest rate and the dividend yield on the S&P 500? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Implied difference %
- following questions: a. What is the mid-rate for each maturity? b. What is the annual forward premium for all maturities? (Click on the icon to import the table into a spreadsheet.) Period spot 1 month 2 months 3 months 6 months 12 months 24 months Period Bid Rate Spot 1.3267 1.3265 1.3263 1.3259 1.3250 1.3228 1.3179 a. What is the mid-rate for each maturity? Calculate the mid-rate for each maturity below: (Round to five decimal places.) Days Forward Ask Rate 0 1.3268 1.3266 1.3264 1.3262 1.3252 1.3233 1.3207 Bid Rate US$/€ 1.3267 Ask Rate US$/€ 1.3268 Mid-rate US$/€A real risk-free rate is currently -1.0%. A broker at INV Securities, has given you the following estimates of current interest rate premiums: Inflation: 6%, Liquidity Risk Premium 2%, Maturity Risk Premium 2%, and Default Risk Premium 5%. Based on these data, what is the rate of short-term U.S. Treasuries? O 5.0% O 4.0% O 1.5% O 3.0%The Treasury bond futures contract has a target price of 89-8. What is the estimated annualized return?
- Suppose we observe the following rates: 1R1 = 6.7, 1R2 = 7.4, and E(2r1) = 6.7. If the liquidity premium theory of the term structure of interest rates holds, what is the liquidity premium for year 2? Please step by step.A Treasury bond futures contract has a settlement price of 89'08. What is the implied annual yield?Suppose that the standard deviation of quarterly changes in the prices of a commodity is $0.65, the standard deviation of quarterly changes in a futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8. What is the optimal hedge ratio for a three-month contract? What does it mean? Explain what is meant by basis risk when futures contracts are used for hedging.