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The multiplier for a futures contract on a stock market index is $80. The maturity of the contract is one year, the current level of the index is $5,100, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 5,150. Required: a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. b. Find the holding-period return if the initial margin on the contract is $10,600. Answer is complete but not entirely correct. Complete this question by entering your answers in the tabs below. Required A Required B Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Cash flow $ 4,000.00 x

The multiplier for a futures contract on a stock market index is $80. The maturity of the contract is one year, the current level of the index is $5,100, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 5,150. Required: a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. b. Find the holding-period return if the initial margin on the contract is $10,600. Answer is complete but not entirely correct. Complete this question by entering your answers in the tabs below. Required A Required B Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Cash flow $ 4,000.00 x

Essentials Of Investments
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 multiplier for a futures contract on a stock market index is $80. The maturity of the contract is one year, the current level of the index is $5,100, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 5,150. Required: a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. b. Find the holding-period return if the initial margin on the contract is $10,600. Answer is complete but not entirely correct. Complete this question by entering your answers in the tabs below. Required A Required B Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Cash flow $ 4,000.00 x <Required A Required B >
Transcribed Image Text:The multiplier for a futures contract on a stock market index is $80. The maturity of the contract is one year, the current level of the index is $5,100, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 5,150. Required: a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. b. Find the holding-period return if the initial margin on the contract is $10,600. Answer is complete but not entirely correct. Complete this question by entering your answers in the tabs below. Required A Required B Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Cash flow $ 4,000.00 x <Required A Required B >
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