Your have the following data on different rates for the same maturity of 1.5 years. However...
Your have the following data on different rates for the same maturity of 1.5 years. However the rates are quoted on different basis and compounding frequencies:
- Continuously compounded rate: 2% per annum (i.e. annualized)
- Continuously compounded rate: 3% over the holding period (i.e. over 1.5 years)
- Annually compounded rate: 2.1% per annum
- semi-annually compounded rate: 2.01% per annum
You are looking for an arbitrage opportunity. Is there any mis-pricing here and if so how would you execute the arbitrage?
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HOME ASSIGNMENT PROBLEM №1 What is a forward price of an index JKL given the following...
HOME ASSIGNMENT
PROBLEM №1
What is a forward price of an index JKL given the following
information?
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Time till expiration: four months / Contract expires on March
15, 2020
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Continuously compounded interest rate: 4.5 %
Continuously compounded dividend yield: 2.3%
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What is the value of the forward contract (specified in
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please show work!!
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a. Your case company has just made a large sale on an instalment
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the end of every month for 4 years. Your case company would like
the cash now for an investment and so has asked its bank to
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will give thumbs up
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PROBLEM №1
What is a forward price of an index JKL given the following
information?
Date of pricing: November 15, 2019
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Current value of an index: 2 803
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What is the value of the forward contract (specified in
problem №1) on January 15, 2020 if:
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